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VaR

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

Keywords for this software

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  • R software
  • empirical distribution
  • absolute regularity
  • Gaussian process
  • parametric distributions
  • strong mixing
  • penalized likelihood
  • iteratively reweighted least squares
  • multivariate independence
  • value at risk
  • distance covariance
  • dCor
  • copulas
  • extremes
  • dCov
  • tail distribution function
  • clustering of extremes
  • vector splines
  • dependence function
  • multivariate extreme value distribution
  • expected shortfall

  • URL: cran.uvigo.es/web/pack...
  • InternetArchive
  • Authors: T. Daniyarov
  • Dependencies: R

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References in zbMATH (referenced in 5 articles )

Showing results 1 to 5 of 5.
y Sorted by year (citations)

  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)

  • Article statistics & filter:

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  • MSC classification / top
    • Top MSC classes
      • 60 Probability theory and...
      • 62 Statistics
      • 65 Numerical analysis
      • 91 Game theory, economics,...

  • Publication year
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