QuantileModels
Estimation of Different Quantile Related Models
Estimation of different quantile models, at the moment only Conditional autoregressive value at risk (CAViaR) proposed by Engle & Manganelli (2004) <doi:10.1198/073500104000000370> with also the specification proposed in Huang et al. (2009) <doi:10.1016/j.eneco.2008.12.006> and it's multivariate extension, Multi-variate multi-quantile CAViaR (MVMQ-CAViaR) proposed by White et al. (2015) <doi:10.1016/j.jeconom.2015.02.004> are available, however, in further updates, other models and extensions will be included.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.0 |
rolling linux/jammy R-4.5 | QuantileModels_1.0.0.tar.gz |
744.2 KiB |
1.0.0 |
rolling linux/noble R-4.5 | QuantileModels_1.0.0.tar.gz |
747.0 KiB |
1.0.0 |
rolling source/ R- | QuantileModels_1.0.0.tar.gz |
916.4 KiB |
1.0.0 |
latest linux/jammy R-4.5 | QuantileModels_1.0.0.tar.gz |
744.2 KiB |
1.0.0 |
latest linux/noble R-4.5 | QuantileModels_1.0.0.tar.gz |
747.0 KiB |
1.0.0 |
latest source/ R- | QuantileModels_1.0.0.tar.gz |
916.4 KiB |
1.0.0 |
2026-04-23 source/ R- | QuantileModels_1.0.0.tar.gz |
0 B |