Package: ufRisk
Type: Package
Title: Risk Measure Calculation in Financial TS
Version: 1.0.7
Description: Enables the user to calculate Value at Risk (VaR) and Expected 
    Shortfall (ES) by means of various parametric and semiparametric 
    GARCH-type models. For the latter the estimation of the nonparametric scale
    function is carried out by means of a data-driven smoothing approach. Model
    quality, in terms of forecasting VaR and ES, can be assessed by means of 
    various backtesting methods such as the traffic light test for VaR and a 
    newly developed traffic light test for ES. The approaches implemented in 
    this package are described in e.g. Feng Y., Beran J., Letmathe S. and 
    Ghosh S. (2020) <https://ideas.repec.org/p/pdn/ciepap/137.html> as well as 
    Letmathe S., Feng Y. and Uhde A. (2021) 
    <https://ideas.repec.org/p/pdn/ciepap/141.html>. 
License: GPL-3
Encoding: UTF-8
LazyData: true
Imports: esemifar, fracdiff, rugarch, smoots, stats, utils
Depends: R (>= 2.10)
Authors@R: c(
  person("Yuanhua", "Feng", role = "aut", 
    comment = "Paderborn University, Germany"),
  person("Xuehai", "Zhang", role = "aut",
    comment = "Former research associate at Paderborn University, Germany"),
  person("Christian", "Peitz", role = "aut",
    comment = "Paderborn University, Germany"),
  person("Dominik", "Schulz", role = "aut", 
    comment = "Paderborn University, Germany"),
  person("Shujie", "Li", role = "aut", 
    comment = "Paderborn Universtiy, Germany"),
  person("Sebastian", "Letmathe", role = c("aut", "cre"),
    email = "sebastian.letmathe@uni-paderborn.de",
    comment = "Paderborn University, Germany"))
URL: https://wiwi.uni-paderborn.de/en/dep4/feng/
RoxygenNote: 7.2.3
NeedsCompilation: no
Packaged: 2023-10-22 07:55:10 UTC; Letmode
Author: Yuanhua Feng [aut] (Paderborn University, Germany),
  Xuehai Zhang [aut] (Former research associate at Paderborn University,
    Germany),
  Christian Peitz [aut] (Paderborn University, Germany),
  Dominik Schulz [aut] (Paderborn University, Germany),
  Shujie Li [aut] (Paderborn Universtiy, Germany),
  Sebastian Letmathe [aut, cre] (Paderborn University, Germany)
Maintainer: Sebastian Letmathe <sebastian.letmathe@uni-paderborn.de>
Repository: CRAN
Date/Publication: 2023-10-22 08:10:02 UTC
Built: R 4.6.0; ; 2026-04-26 15:40:46 UTC; unix
