Hey Pit, I and my lab implemented some CAViaR parametric forms in R. Take a look: https://github.com/PedroBSB/Caviar Cheers. Pedro
On Wed, Mar 28, 2018, 7:18 AM Pit Götz <[email protected]> wrote: > Hello everyone, > > since this is my first post here I would like to introduce myself: > > My Name is Pit Goetz and I am currently working on my Ph.D. thesis in > finance. > I usually do different stuff, wich is why I ask for help here: > > > I want to use the CAViaR Model by Engle and Manganelli (2004) in R and I > found the following package for it: > > https://github.com/steinarv/quantileVaR > > it looks rather similar to the code provided by Manganelli on his website: > > http://www.simonemanganelli.org/Simone/Research.html > At: CAViaR: Conditional Autoregressive Value at Risk by Regression > Quantiles (with Robert Engle), 2004, Journal of Business & Economic > Statistics, 22(4): 367-381 > > > Unfortunytely the R package has only a limited amount of description and > comments, wich is why I am here: > > Does anyone have any experience with this package or with CAViaR in R in > general and can help me on how to code or use it? > > > Best rgards, > Pit Goetz > > Research Associate > > *Martin-Luther-Universität Halle-Wittenberg* > > Chair of Finance & Banking > > > > Große Steinstraße 73 | D-06108 Halle | Germany > Tel 0049 345 5523452 > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
