VaR

R Package ‘VaR’: A set of methods for calculation of Value at Risk (VaR)

Keywords for this software

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References in zbMATH (referenced in 5 articles )

Showing results 1 to 5 of 5.
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  1. Chan, Stephen; Nadarajah, Saralees; Afuecheta, Emmanuel: An \textttRpackage for value at risk and expected shortfall (2016)
  2. Székely, Gábor J.; Rizzo, Maria L.: The distance correlation (t)-test of independence in high dimension (2013)
  3. Rootzén, Holger: Weak convergence of the tail empirical process for dependent sequences (2009)
  4. Zhang, Dabao; Wells, Martin T.; Peng, Liang: Nonparametric estimation of the dependence function for a multivariate extreme value distribution (2008)
  5. Yee, Thomas W.; Stephenson, Alec G.: Vector generalized linear and additive extreme value models (2007)