R package for MIDAS-based VaR and ES forecast

Our member, Dr. Trung Le, provides an R package to perform MIDAS-based VaR and ES forecasting. This package helps to calculate and predict VaR based on the Conditional Autoregressive Value at Risk (CAViaR) model of Engle and Mnagnelli (2004), MIDAS quantile regression of Ghysels et al. (2016). The package can also help to calculate ESContinue reading “R package for MIDAS-based VaR and ES forecast”

R package for Autoregressive Conditional Density Model

Our member, Dr. Trung Le, provides an R package to estimate the Autoregressive Conditional Density Model. There is an introduction to the package written in Vietnamese. You can read more and download the package following the link below. Read More