• 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, value-at-risk and expected shortfall. Include power hyperbolas and power hyperbolic functions...
  • Matlab

  • Referenced in 12721 articles [sw00558]
  • MATLAB® is a high-level 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...