• quantreg

• Referenced in 138 articles [sw04356]
• data. Portfolio selection methods based on expected shortfall risk are also included...

• ghyp

• Referenced in 19 articles [sw08162]
• density, quantile, probability, random variates, expected shortfall and some portfolio optimization and plotting routines...

• VaRES

• Referenced in 2 articles [sw17463]
• package for value at risk and expected shortfall. Value at risk and expected shortfall ... distributions, including all commonly known distributions. We expect that the R package could be useful...

• esreg

• Referenced in 1 article [sw31262]
• package esreg: Joint Quantile and Expected Shortfall Regression. Simultaneous modeling of the quantile ... expected shortfall of a response variable given a set of covariates, see Dimitriadis and Bayer...

• FatTailsR

• Referenced in 0 articles [sw15469]
• parameters, quantiles, value-at-risk and expected shortfall. Include power hyperbolas and power hyperbolic functions...

• Matlab

• Referenced in 12074 articles [sw00558]
• MATLAB® is a high-level language and interactive...

• R

• Referenced in 8359 articles [sw00771]
• R is a language and environment for statistical...

• ASYNPLEX

• Referenced in 8 articles [sw02174]
• This paper describes ASYNPLEX, an asynchronous variant of...

• OR-Library

• Referenced in 619 articles [sw04153]
• OR-Library is a collection of test data...

• TOMLAB

• Referenced in 88 articles [sw04214]
• TOMLAB is a general purpose development and modeling...

• CRAN

• Referenced in 456 articles [sw04351]
• R is ‘GNU S’, a freely available language...

• CAViaR

• Referenced in 136 articles [sw04424]
• CAViaR: Conditional autoregressive value at risk by regression...

• vars

• Referenced in 30 articles [sw04507]
• R package vars: VAR Modelling , Estimation, lag selection...

• fBasics

• Referenced in 15 articles [sw04508]
• fBasics: Rmetrics - Markets and Basic Statistics , Environment for...

• STABLE

• Referenced in 106 articles [sw04843]
• The program calculates the density (pdf), cumulative distribution...

• Excel

• Referenced in 757 articles [sw06848]
• Microsoft Excel is a powerful spreadsheet application that...

• robustbase

• Referenced in 407 articles [sw07114]
• R package robustbase: Basic Robust Statistics. ”Essential” Robust...

• SemiPar

• Referenced in 686 articles [sw07116]
• R package SemiPar: Semiparametic Regression. The primary aim...

• LMOMENTS

• Referenced in 128 articles [sw07868]
• LMOMENTS: Fortran routines for use with the method...

• sn

• Referenced in 297 articles [sw08059]
• R package sn: The Skew-Normal and Related...