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var |
var computes the variance of the elements of an array regarding a given dimension.
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VaRauxdiagcat |
subroutine for VaRdiagtable.
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VaRauxsums |
subroutine for VaRpred (with option sums),
calculates the transformation matrix.
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VaRdiagplot |
produces calibration and discrimination plots
which verify validity of probability forecasts.
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VaRdiagtable |
produces table containing frequencies of predictive
probabilities of the observations falling into specified
intervals.
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VaRest |
estimates the value at risk (VaR).
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VaRgrdiag |
produces calibration and discrimination plots
which verify validity of probability forecasts.
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variableinfo |
gives general information concerning the name, the type
and the number of NaNs in each variable of the dataset and
shows if the variables and cases are in/excluded.
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VaRmain |
sets defaults for library VaR.
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varml |
computes the maximum likelihood estimates of the
model parameters (beta) and covariance (s) of residuals
of a VAR(p) model without intercept
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VaRopt |
defines a list with optional parameters
in VaR functions. The list is either created or new
options are appended to an existing list.
Note that VaRopt does accept _any_ values for the
parameters without checking validity.
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varorder |
standard selection criteria for Full VAR models
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VaRpred |
predicts the value at risk (VaR).
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VaRqqplot |
visualizes the reliability of VaR forecasts.
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VaRtimeplot |
shows the time plot of VaR forecasts and
the associated changes of the P&L of the portfolio.
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varunls |
computes the unconstrained least squares estimates of the model parameters (B), residuals (u), variance-covariance matrix of the residuals (s), and autocovariance matrix of the time series (g) of a K-dimensional VAR(p) model with/ without intercept
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vec |
vec reshapes all given arguments into a vectors and concatenates them into a single vector which is returned.
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vec2mat |
stores the values of a vector into the upper
triangle of a symmetric matrix regarding the
sequence described in agglom
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vertestb |
tests all libraries. Similar to vertestl but
without menu.
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vertestl |
tests all libraries.
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vertestn |
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volatility |
volatility calculates the implied volatility of a given option
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