
quantreg
 Referenced in 147 articles
[sw04356]
 data. Portfolio selection methods based on expected shortfall risk are also included...

ghyp
 Referenced in 22 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, valueatrisk and expected shortfall. Include power hyperbolas and power hyperbolic functions...

Matlab
 Referenced in 12721 articles
[sw00558]
 MATLAB® is a highlevel language and interactive...

R
 Referenced in 8904 articles
[sw00771]
 R is a language and environment for statistical...

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

AS 99
 Referenced in 18 articles
[sw03870]
 Algorithm AS 99. Fitting Johnson curves by moments...

TOMLAB
 Referenced in 90 articles
[sw04214]
 TOMLAB is a general purpose development and modeling...

CRAN
 Referenced in 506 articles
[sw04351]
 R is ‘GNU S’, a freely available language...

CAViaR
 Referenced in 162 articles
[sw04424]
 CAViaR: Conditional autoregressive value at risk by regression...

vars
 Referenced in 32 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 108 articles
[sw04843]
 The program calculates the density (pdf), cumulative distribution...

Excel
 Referenced in 779 articles
[sw06848]
 Microsoft Excel is a powerful spreadsheet application that...

robustbase
 Referenced in 434 articles
[sw07114]
 R package robustbase: Basic Robust Statistics. ”Essential” Robust...

SemiPar
 Referenced in 706 articles
[sw07116]
 R package SemiPar: Semiparametic Regression. The primary aim...

LMOMENTS
 Referenced in 130 articles
[sw07868]
 LMOMENTS: Fortran routines for use with the method...