DESCRIPTION

Package: quantileVaR
Type: Package
Title: Quantile regression for estimating value at risk and backtesting.
Version: 1.0
Date: 2013-08-14
Author: Steinar Veka
Maintainer: Steinar Veka <steinar.veka@gmail.com>
Description: Estimating CAViaR models (Engle & Manganelli, 2004) and similar models. Create VaR forecasts. Backtest VaR forecasts (independent of model used for creating the forecasts).
License: GPL-2 | GPL-3
Depends: Rcpp (>= 0.10.3), RcppArmadillo (>= 0.3.800.1)
LinkingTo: Rcpp, RcppArmadillo