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

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Documentation for package ‘quarks’ version 1.1.3

Help Pages

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