Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
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Updated
Jan 22, 2024 - R
Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
[R] Statistical analysis of financial data conducted in R
R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)
Backtesting my current US stocks portfolio
The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.
The purpose of investments is to obtain a profit. One type of investments that can be done is stock investment. Investors can diversify the stocks to reduce the risk of an investment. Stock diversification is done by combining several stocks and then forming a portfolio.
Essential techniques to assess financial risks
R package for nonparametric estimation of CES
Single and multi-assets portfolio analysis and forecast of Value at Risk (VaR) and Expected Shortfall (ES).
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