Package: matrisk
Title: Macroeconomic-at-Risk
Version: 0.1.0
Authors@R: c(person("Quentin", "Lajaunie", role = c("aut", "cre"),
                     email = "quentin_lajaunie@hotmail.fr"),
              person("Guillaume", "Flament", role = "aut", email="g.f.flament@gmail.com"),
              person("Christophe", "Hurlin", role = "aut", email="christophe.hurlin@univ-orleans.fr"))
Description: The Macroeconomics-at-Risk (MaR) approach is based on a two-step semi-parametric estimation procedure that allows to forecast the full conditional distribution of an economic variable at a given horizon, as a function of a set of factors. These density forecasts are then be used to produce coherent forecasts for any downside risk measure, e.g., value-at-risk, expected shortfall, downside entropy. Initially introduced by Adrian et al. (2019) <doi:10.1257/aer.20161923> to reveal the vulnerability of economic growth to financial conditions, the MaR approach is currently extensively used by international financial institutions to provide Value-at-Risk (VaR) type forecasts for GDP growth (Growth-at-Risk) or inflation (Inflation-at-Risk). This package provides methods for estimating these models. Datasets for the US and the Eurozone are available to allow testing of the Adrian et al (2019) model. This package constitutes a useful toolbox (data and functions) for private practitioners, scholars as well as policymakers.
Depends: R (>= 2.10)
License: GPL-3
Encoding: UTF-8
RoxygenNote: 7.2.3
Imports: stats, quantreg, sn, dfoptim, plot3D
NeedsCompilation: no
Packaged: 2023-04-28 21:12:07 UTC; quentin.lajaunie_ver
Author: Quentin Lajaunie [aut, cre],
  Guillaume Flament [aut],
  Christophe Hurlin [aut]
Maintainer: Quentin Lajaunie <quentin_lajaunie@hotmail.fr>
Repository: CRAN
Date/Publication: 2023-05-02 08:30:05 UTC
Built: R 4.6.0; ; 2026-04-28 06:24:00 UTC; unix
