Changelog

quarks 1.1.3

  • added an application to download data from Yahoo Finance
  • fixed a bug in ‘cvgtest.R’

quarks 1.1.22022-06-20

  • added argument ‘conflvl’ to ‘cvgtest.R’ in order to set the significance level for hypothesis testing

quarks 1.1.12022-06-13

  • slightly adjusted print method for ‘cvgtest.R’

quarks 1.1.02022-03-30

  • implemented 4 new functions which enable the user to apply various backtesting methods

quarks 1.0.112022-01-09

  • slightly adjusted plot method (added a grid)
  • updated data sets
  • changed name of ‘DAX30’ to ‘DAX’ due to the recent extension of the German Stock Market Index

quarks 1.0.102021-11-21

  • added a print method for ‘quarks’

quarks 1.0.92021-09-06

  • fixed a bug in ‘hs.R’

quarks 1.0.82021-09-02

  • fixed a bug which caused an error in ‘vwhs.R’ and ‘fhs.R’

quarks 1.0.72021-09-02

  • changed output value of ‘hs.R’, ‘vwhs.R’ and ‘fhs.R’
  • modified ‘plot.quarks.R’; main title and axis labels can now be adjusted manually
  • added five financial time series data sets

quarks 1.0.62021-04-25

  • changed default of coverage level (p) from 0.95 to 0.975
  • implemented ‘fhs.R’, enabling filtered historical simulation
  • implemented volatility estimation with GARCH-type models by means of the ‘rugarch’ package

quarks 1.0.52021-03-01

  • slightly changed example for ‘rollcast.R’
  • fixed a bug which caused a warning if argument ‘method’ in ‘rollcast.R’ was set on default

quarks 1.0.42021-02-21

  • slightly adapted ‘hs.R’, ‘vwhs.R’ and ‘rollcast.R’
  • modified ES-calculation for age-weighted historical simulation

quarks 1.0.32021-02-20

  • slightly adjusted README
  • modified ‘plot.quarks.R’

quarks 1.0.22021-02-20

  • fixed a minor bug in ‘hs.R’
  • minor adjustments in the README were made

quarks 1.0.12021-02-18

  • adjusted example in the README file
  • minor adjustments in the documentation were made