The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.

Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

'Kevin Dowd's' book Measuring Market Risk is a widely read book in the area of risk measurement by students and practitioners alike. As he claims, 'MATLAB' indeed might have been the most suitable language when he originally wrote the functions, but, with growing popularity of R it is not entirely valid. As 'Dowd's' code was not intended to be error free and were mainly for reference, some functions in this package have inherited those errors. An attempt will be made in future releases to identify and correct them. 'Dowd's' original code can be downloaded from www.kevindowd.org/measuring-market-risk/. It should be noted that 'Dowd' offers both 'MMR2' and 'MMR1' toolboxes. Only 'MMR2' was ported to R. 'MMR2' is more recent version of 'MMR1' toolbox and they both have mostly similar function. The toolbox mainly contains different parametric and non parametric methods for measurement of market risk as well as backtesting risk measurement methods.

Version: 0.12
Depends: R (≥ 3.0.0), bootstrap, MASS, forecast
Suggests: PerformanceAnalytics, testthat
Published: 2016-03-11
DOI: 10.32614/CRAN.package.Dowd
Author: Dinesh Acharya
Maintainer: Dinesh Acharya <dines.acharya at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: no
In views: Finance
CRAN checks: Dowd results

Documentation:

Reference manual: Dowd.pdf

Downloads:

Package source: Dowd_0.12.tar.gz
Windows binaries: r-devel: Dowd_0.12.zip, r-release: Dowd_0.12.zip, r-oldrel: Dowd_0.12.zip
macOS binaries: r-release (arm64): Dowd_0.12.tgz, r-oldrel (arm64): Dowd_0.12.tgz, r-release (x86_64): Dowd_0.12.tgz, r-oldrel (x86_64): Dowd_0.12.tgz
Old sources: Dowd archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=Dowd to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.