Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall

Documentation for package ‘quarks’ version 1.1.4

cvgtest	Unconditional and Conditional Coverage Tests, Independence Test
DAX	German Stock Market Index (DAX) Financial Time Series Data
DJI	Dow Jones Industrial Average (DJI) Financial Time Series Data
ewma	Exponentially weighted moving average
fhs	Filtered historical simulation
FTSE100	Financial Times Stock Exchange Index (FTSE) Financial Time Series Data
hs	Nonparametric calculation of univariate Value at Risk and Expected Shortfall
HSI	Hang Seng Index (HSI) Financial Time Series Data
lossfun	Loss Functions
NIK225	Nikkei Heikin Kabuka Index (NIK) Financial Time Series Data
plop	Profit & Loss operator function
plot.quarks	Plot Method for the Package 'quarks'
print.quarks	Print Method for the Package 'quarks'
rollcast	Rolling one-step ahead forecasts of Value at Risk and Expected Shortfall
runFTSdata	Application for downloading data from Yahoo Finance
SP500	Standard and Poor's (SP500) Financial Time Series Data
trftest	Backtesting of Value-at-Risk via Traffic Light Test
vwhs	Volatility weighted historical simulation