Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.
Version: | 0.4-31 |
Depends: | R (≥ 2.10.0), gsl, Matrix, mvtnorm, numDeriv, timeSeries |
Imports: | Rcpp (≥ 0.11.1), mgcv, methods, timeDate |
LinkingTo: | Rcpp |
Published: | 2020-02-15 |
DOI: | 10.32614/CRAN.package.QRM |
Author: | Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil [aut] (S-Plus original (QRMlib)), Scott Ulmann [trl] (First R port as package QRMlib) |
Maintainer: | Bernhard Pfaff <bernhard at pfaffikus.de> |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: | yes |
In views: | Distributions, ExtremeValue |
CRAN checks: | QRM results |
Reference manual: | QRM.pdf |
Package source: | QRM_0.4-31.tar.gz |
Windows binaries: | r-devel: QRM_0.4-31.zip, r-release: QRM_0.4-31.zip, r-oldrel: QRM_0.4-31.zip |
macOS binaries: | r-release (arm64): QRM_0.4-31.tgz, r-oldrel (arm64): QRM_0.4-31.tgz, r-release (x86_64): QRM_0.4-31.tgz, r-oldrel (x86_64): QRM_0.4-31.tgz |
Old sources: | QRM archive |
Reverse imports: | AZIAD, BFpack |
Reverse suggests: | fitteR |
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