Fitting and Predicting VaR based on an ARMA-GARCH ProcessUpdated 2 years ago

Marius Hofert

Rendered from ARMA_GARCH_VaR.Rmd in qrmtools 0.0-17.
Estimating risk measures for normal variance mixture distributionsUpdated 4 years ago

Erik Hintz, Marius Hofert and Christiane Lemieux

Rendered from nvmix_riskmeasures.Rmd in nvmix 0.1-1.
Multivariate Normal Variance MixturesUpdated 4 years ago

Erik Hintz, Marius Hofert and Christiane Lemieux

Rendered from nvmix_functionality.Rmd in nvmix 0.1-1.
Geometric Risk MeasuresUpdated 5 years ago

Marius Hofert, Klaus Herrmann and Mélina Mailhot

Rendered from geometric_risk_measures.Rmd in qrmtools 0.0-17.
Worst Value-at-Risk under Known MarginsUpdated 5 years ago

Marius Hofert

Rendered from VaR_bounds.Rmd in qrmtools 0.0-17.