- Referenced in 147 articles
- data. Portfolio selection methods based on expected shortfall risk are also included...
- Referenced in 22 articles
- density, quantile, probability, random variates, expected shortfall and some portfolio optimization and plotting routines...
- Referenced in 2 articles
- 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...
- Referenced in 1 article
- 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...
- Referenced in 0 articles
- parameters, quantiles, value-at-risk and expected shortfall. Include power hyperbolas and power hyperbolic functions...
- Referenced in 12721 articles
- MATLAB® is a high-level language and interactive...
- Referenced in 8904 articles
- R is a language and environment for statistical...
- Referenced in 8 articles
- This paper describes ASYNPLEX, an asynchronous variant of...
- Referenced in 18 articles
- Algorithm AS 99. Fitting Johnson curves by moments...
- Referenced in 90 articles
- TOMLAB is a general purpose development and modeling...
- Referenced in 506 articles
- R is ‘GNU S’, a freely available language...
- Referenced in 162 articles
- CAViaR: Conditional autoregressive value at risk by regression...
- Referenced in 32 articles
- R package vars: VAR Modelling , Estimation, lag selection...
- Referenced in 15 articles
- fBasics: Rmetrics - Markets and Basic Statistics , Environment for...
- Referenced in 108 articles
- The program calculates the density (pdf), cumulative distribution...
- Referenced in 779 articles
- Microsoft Excel is a powerful spreadsheet application that...
- Referenced in 434 articles
- R package robustbase: Basic Robust Statistics. ”Essential” Robust...
- Referenced in 706 articles
- R package SemiPar: Semiparametic Regression. The primary aim...
- Referenced in 130 articles
- LMOMENTS: Fortran routines for use with the method...