| Name : R-matrisk
| |
| Version : 0.1.0
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp153.1.5
| Date : 2024-06-14 11:36:56
|
| Group : Development/Libraries/Other
| Source RPM : R-matrisk-0.1.0-lp153.1.5.src.rpm
|
| Size : 0.04 MB
| |
| Packager : (none)
| |
| Summary : Macroeconomic-at-Risk
|
Description :
The Macroeconomics-at-Risk (MaR) approach is based on a two-step
semi-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 MaR
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.
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RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
