[R-SIG-Finance] CAViaR

[Pedro Albuquerque]

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 <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-Universität Halle-Wittenberg*
>
> Chair of Finance & Banking
>
>
>
> Große Steinstraße 73 | D-06108 Halle | Germany
> Tel 0049 345 5523452
>
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