CAViaR
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 G?tz <pit.goetz at wiwi.uni-halle.de> 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-Universit?t Halle-Wittenberg* Chair of Finance & Banking Gro?e Steinstra?e 73 | D-06108 Halle | Germany Tel 0049 345 5523452
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