R: Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall

# Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall

## Documentation for package ‘quarks’ version 1.1.6

- DESCRIPTION file
- Package NEWS
- Package README

## Help Pages

cvgtest | Unconditional and Conditional Coverage Tests, Independence Test
DAX | German Stock Market Index (DAX) Financial Time Series Data
DJI | Dow Jones Industrial Average (DJI) Financial Time Series Data
ewma | Exponentially weighted moving average
fhs | Filtered historical simulation
FTSE100 | Financial Times Stock Exchange Index (FTSE) Financial Time Series Data
hs | Nonparametric calculation of univariate Value at Risk and Expected Shortfall
HSI | Hang Seng Index (HSI) Financial Time Series Data
lossfun | Loss Functions
NIK225 | Nikkei Heikin Kabuka Index (NIK) Financial Time Series Data
plop | Profit & Loss operator function
plot.quarks | Plot Method for the Package 'quarks'
print.quarks | Print Method for the Package 'quarks'
rollcast | Rolling one-step ahead forecasts of Value at Risk and Expected Shortfall
runFTSdata | Application for downloading data from Yahoo Finance
SP500 | Standard and Poor's (SP500) Financial Time Series Data
trftest | Backtesting of Value-at-Risk via Traffic Light Test
vwhs | Volatility weighted historical simulation