QuantileModels: Estimation of Different Quantile Related Models

Estimation of different quantile models, at the moment only Conditional autoregressive value at risk (CAViaR) proposed by Engle & Manganelli (2004) <doi:10.1198/073500104000000370> with also the specification proposed in Huang et al. (2009) <doi:10.1016/j.eneco.2008.12.006> and it's multivariate extension, Multi-variate multi-quantile CAViaR (MVMQ-CAViaR) proposed by White et al. (2015) <doi:10.1016/j.jeconom.2015.02.004> are available, however, in further updates, other models and extensions will be included.

Version:	1.0.0
Depends:	R (≥ 3.5)
Imports:	Rcpp, nloptr, quantreg, numDeriv, xts, zoo, ufRisk, GenSA
LinkingTo:	Rcpp, RcppArmadillo
Suggests:	knitr, rmarkdown
Published:	2026-06-25
DOI:	10.32614/CRAN.package.QuantileModels (may not be active yet)
Author:	Christian Jorge Carreiro [aut, cre, cph]
Maintainer:	Christian Jorge Carreiro <christianjorge59 at gmail.com>
License:	GPL (≥ 3)
NeedsCompilation:	yes
Language:	en-US
Materials:	README, NEWS
CRAN checks:	QuantileModels results

Documentation:

Reference manual:	QuantileModels.html , QuantileModels.pdf
Vignettes:	Introduction to QuantileModels package (source, R code)

Downloads:

Package source:	QuantileModels_1.0.0.tar.gz
Windows binaries:	r-devel: QuantileModels_1.0.0.zip, r-release: not available, r-oldrel: not available
macOS binaries:	r-release (arm64): QuantileModels_1.0.0.tgz, r-oldrel (arm64): QuantileModels_1.0.0.tgz, r-release (x86_64): QuantileModels_1.0.0.tgz, r-oldrel (x86_64): QuantileModels_1.0.0.tgz

Linking:

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