| Name : R-atRisk
| |
| Version : 0.1.0
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.1.5
| Date : 2024-06-14 11:57:44
|
| Group : Development/Libraries/Other
| Source RPM : R-atRisk-0.1.0-lp153.1.5.src.rpm
|
| Size : 0.06 MB
| |
| Packager : (none)
| |
| Summary : At-Risk
|
Description :
The at-Risk (aR) approach is based on a two-step parametric estimation
procedure that allows to forecast the full conditional distribution of
an economic variable at a given horizon, as a function of a set of
factors. These density forecasts are then be used to produce coherent
forecasts for any downside risk measure, e.g., value-at-risk, expected
shortfall, downside entropy. Initially introduced by Adrian et al.
(2019) < doi:10.1257/aer.20161923> to reveal the vulnerability of
economic growth to financial conditions, the aR approach is currently
extensively used by international financial institutions to provide
Value-at-Risk (VaR) type forecasts for GDP growth (Growth-at-Risk) or
inflation (Inflation-at-Risk). This package provides methods for
estimating these models. Datasets for the US and the Eurozone are
available to allow testing of the Adrian et al. (2019) model. This
package constitutes a useful toolbox (data and functions) for private
practitioners, scholars as well as policymakers.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
