LFU Risk Management Utilities


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Documentation for package ‘LFUrmutils’ version 0.1-5

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LFUrmutils-package LFU Risk Management Utilities
ccor Conditional correlations
ccor.MultiEWMA Conditional correlations
CRSPday_zoo Daily Returns from the CRSP Database
fitted Extract Model Fitted Values
fitted.MultiEWMA Extract Model Fitted Values
fitted.UnivVola Extract Model Fitted Values
logLik Extract Log-Likelihood
logLik.fGARCH Extract Log-Likelihood
logLik.MultiEWMA Extract Log-Likelihood
logLik.UnivVola Extract Log-Likelihood
lrtest.fGARCH LFU Risk Management Utilities
mse Mean Squared Error
mse.fGARCH Mean Squared Error
mse.MultiEWMA Mean Squared Error
mse.UnivVola Mean Squared Error
MultiEWMA Volatility models
NextBusinessDay Next Business Day
plot.MultiEWMA Plot multivariate EWMA models
plot.UnivVola Plot univariate volatility models
residuals.MultiEWMA Residuals of volatility models
residuals.UnivVola Residuals of volatility models
UnivVola Volatility models
varcov Variance-covariance matrix
varcov.MultiEWMA Variance-covariance matrix
vola Conditional volatilities
vola.fGARCH Conditional volatilities
vola.MultiEWMA Conditional volatilities
vola.UnivVola Conditional volatilities