{ "_id": "6a3e3a80a319ef94144854ba", "Package": "QuantileModels", "Title": "Estimation of Different Quantile Related Models", "Version": "1.0.0", "Authors@R": "person(\"Christian\", \"Jorge Carreiro\", , \"christianjorge59@gmail.com\", role = c(\"aut\", \"cre\", \"cph\"))", "Description": "Estimation of different quantile models, at the moment\nonly Conditional autoregressive value at risk (CAViaR) proposed\nby Engle & Manganelli (2004) \nwith also the specification proposed in Huang et al. (2009)\n and it's multivariate\nextension, Multi-variate multi-quantile CAViaR (MVMQ-CAViaR)\nproposed by White et al. (2015)\n are available, however, in\nfurther updates, other models and extensions will be included.", "License": "GPL (>= 3)", "Encoding": "UTF-8", "VignetteBuilder": "knitr", "LazyData": "true", "Config/roxygen2/version": "8.0.0", "Language": "en-US", "NeedsCompilation": "yes", "Packaged": { "Date": "2026-06-26 08:31:09 UTC", "User": "root" }, "Author": "Christian Jorge Carreiro [aut, cre, cph]", "Maintainer": "Christian Jorge Carreiro ", "Config/pak/sysreqs": "cmake", "Repository": "https://chjoca.r-universe.dev", "Date/Publication": "2026-06-25 11:30:07 UTC", "RemoteUrl": "https://github.com/cran/QuantileModels", "RemoteRef": "HEAD", "RemoteSha": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "MD5sum": "b1a99744bed86b1bbbdbb574ccb05bb8", "_user": "chjoca", "_type": "src", "_file": "QuantileModels_1.0.0.tar.gz", "_fileid": "1f23730813ba5104772238157eb62e50dea0a8993018b734c1b921cec5874d20", "_filesize": 2313916, "_sha256": "1f23730813ba5104772238157eb62e50dea0a8993018b734c1b921cec5874d20", "_created": "2026-06-26T08:31:09.000Z", "_published": "2026-06-26T08:38:24.237Z", "_distro": "resolute", "_jobs": [ { "job": 83620550798, "time": 179, "config": "linux-devel-arm64", "r": "4.7.0", "check": "OK", "artifact": "7900846631" }, { "job": 83620550766, "time": 163, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7900839382" }, { "job": 83620550811, "time": 223, "config": "linux-release-arm64", "r": "4.6.1", "check": "OK", "artifact": "7900860187" }, { "job": 83620550765, "time": 163, "config": "linux-release-x86_64", "r": "4.6.1", "check": "OK", "artifact": "7900839510" }, { "job": 83620550814, "time": 193, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "7900840031" }, { "job": 83620550784, "time": 371, "config": "macos-oldrel-x86_64", "r": "4.5.3", "check": "OK", "artifact": "7900902494" }, { "job": 83620550786, "time": 198, "config": "macos-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7900838087" }, { "job": 83620550778, "time": 340, "config": "macos-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7900884694" }, { "job": 83619797011, "time": 291, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7900783860" }, { "job": 83620550755, "time": 165, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7900840069" }, { "job": 83620550789, "time": 161, "config": "windows-devel", "r": "4.7.0", "check": "OK", "artifact": "7900839139" }, { "job": 83620550783, "time": 132, "config": "windows-oldrel", "r": "4.5.3", "check": "OK", "artifact": "7900829151" }, { "job": 83620550769, "time": 127, "config": "windows-release", "r": "4.6.0", "check": "OK", "artifact": "7900827258" } ], "_buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/cran/QuantileModels", "_commit": { "id": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "author": "Christian Jorge Carreiro ", "committer": "cran-robot ", "message": "version 1.0.0\n", "time": 1782387007 }, "_maintainer": { "name": "Christian Jorge Carreiro", "email": "christianjorge59@gmail.com", "login": "chjoca", "uuid": 188931437 }, "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 3.5", "role": "Depends" }, { "package": "Rcpp", "role": "LinkingTo" }, { "package": "RcppArmadillo", "role": "LinkingTo" }, { "package": "Rcpp", "role": "Imports" }, { "package": "nloptr", "role": "Imports" }, { "package": "quantreg", "role": "Imports" }, { "package": "numDeriv", "role": "Imports" }, { "package": "xts", "role": "Imports" }, { "package": "zoo", "role": "Imports" }, { "package": "ufRisk", "role": "Imports" }, { "package": "GenSA", "role": "Imports" }, { "package": "knitr", "role": "Suggests" }, { "package": "rmarkdown", "role": "Suggests" } ], "_owner": "cran", "_selfowned": true, "_usedby": 0, "_updates": [ { "week": "2026-26", "n": 1 } ], "_tags": [ { "name": "1.0.0", "date": "2026-06-25" } ], "_stars": 0, "_contributors": [ { "user": "chjoca", "count": 1, "uuid": 188931437 } ], "_userbio": { "uuid": 188931437, "type": "user", "name": "Christian.J", "followers": 0, "description": "PhD student in Economics and Business at University of Santiago de Compostela." }, "_downloads": { "count": 0, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/QuantileModels" }, "_searchresults": 0, "_topics": [ "openblas", "cpp", "openmp" ], "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/NEWS.html", "extra/NEWS.txt", "extra/QuantileModels.html", "extra/readme.html", "extra/readme.md", "manual.pdf" ], "_realowner": "chjoca", "_cranurl": false, "_releases": [ { "version": "1.0.0", "date": "2026-06-25" } ], "_exports": [ "CAViaR", "MVMQ_CAViaR" ], "_datasets": [ { "name": "dataCAViaR", "title": "Original caviar data used in Engle & Manganelli (2004).", "object": "dataCAViaR", "class": [ "data.frame" ], "fields": [ "GM", "IBM", "S&P 500" ], "rows": 3392, "table": true, "tojson": true }, { "name": "MVMQ", "title": "Data used in White et al. (2015)", "object": "MVMQ", "class": [ "xts", "zoo" ], "fields": [ "BARCLAYS - PRICE INDEX", "DEUTSCHE BANK (XET) - PRICE INDEX", "HSBC HOLDINGS - PRICE INDEX", "GOLDMAN SACHS", "yAS_index", "yEU_index", "yNA_index" ], "rows": 2765, "table": true, "tojson": false }, { "name": "wti_data", "title": "Data used in Huang et al. (2009).", "object": "wti_data", "class": [ "xts", "zoo" ], "fields": [ "returns" ], "rows": 2610, "table": true, "tojson": false } ], "_help": [ { "page": "CAViaR", "title": "CAViaR model estimation", "topics": [ "CAViaR" ] }, { "page": "dataCAViaR", "title": "Original caviar data used in Engle & Manganelli (2004).", "topics": [ "dataCAViaR" ] }, { "page": "MVMQ", "title": "Data used in White et al. (2015)", "topics": [ "MVMQ" ] }, { "page": "MVMQ_CAViaR", "title": "MVMQ-CAViaR model estimation proposed by White et al. (2015).", "topics": [ "MVMQ_CAViaR" ] }, { "page": "plot.CAViaR_estim", "title": "Plot CAViaR", "topics": [ "plot.CAViaR_estim" ] }, { "page": "plot.MVMQ_CAViaR", "title": "Plot MVMQ_CAViaR", "topics": [ "plot.MVMQ_CAViaR" ] }, { "page": "print.CAViaR_estim", "title": "Print CAViaR", "topics": [ "print.CAViaR_estim" ] }, { "page": "print.MVMQ_CAViaR", "title": "Print MVMQ_CAViaR", "topics": [ "print.MVMQ_CAViaR" ] }, { "page": "summary.CAViaR_estim", "title": "Summary CAViaR", "topics": [ "summary.CAViaR_estim" ] }, { "page": "summary.MVMQ_CAViaR", "title": "Summary MVMQ_CAViaR", "topics": [ "summary.MVMQ_CAViaR" ] }, { "page": "wti_data", "title": "Data used in Huang et al. (2009).", "topics": [ "wti_data" ] } ], "_readme": "https://github.com/cran/QuantileModels/raw/HEAD/README.md", "_rundeps": [ "chron", "cli", "codetools", "cpp11", "crayon", "digest", "DistributionUtils", "esemifar", "farver", "FNN", "fracdiff", "furrr", "future", "future.apply", "GeneralizedHyperbolic", "GenSA", "ggplot2", "globals", "glue", "gtable", "hms", "isoband", "kernlab", "KernSmooth", "ks", "labeling", "lattice", "lifecycle", "listenv", "magrittr", "MASS", "Matrix", "MatrixModels", "mclust", "mgcv", "multicool", "mvtnorm", "nlme", "nloptr", "numDeriv", "parallelly", "pkgconfig", "pracma", "prettyunits", "progress", "progressr", "purrr", "quantreg", "R6", "RColorBrewer", "Rcpp", "RcppArmadillo", "rlang", "Rsolnp", "rugarch", "S7", "scales", "SkewHyperbolic", "smoots", "SparseM", "spd", "survival", "truncnorm", "ufRisk", "vctrs", "viridisLite", "withr", "xts", "zoo" ], "_sysdeps": [ { "shlib": "libblas", "package": "libopenblas0-pthread", "source": "openblas", "version": "0.3.32+ds-5", "name": "openblas", "homepage": "https://www.openblas.net/", "description": "Optimized BLAS (linear algebra) library (shared lib, pthread)" }, { "shlib": "libstdc++", "package": "libstdc++6", "source": "gcc", "version": "16-20260322-1ubuntu1", "name": "c++", "homepage": "http://gcc.gnu.org/", "description": "GNU Standard C++ Library v3" }, { "shlib": "libgomp", "package": "libgomp1", "source": "gcc", "version": "16-20260322-1ubuntu1", "name": "openmp", "homepage": "http://gcc.gnu.org/", "description": "GCC OpenMP (GOMP) support library" } ], "_vignettes": [ { "source": "Introduction.Rmd", "filename": "Introduction.html", "title": "Introduction to QuantileModels package", "author": "Christian Jorge Carreiro", "engine": "knitr::rmarkdown", "headings": [ "Conditional Autoregressive value at risk (CAViaR)", "VAR for VaR or MVMQ-CAViaR", "References" ], "created": "2026-06-25 11:30:07", "modified": "2026-06-25 11:30:07", "commits": 1 } ], "_score": 2.6989700043360187, "_indexed": true, "_nocasepkg": "quantilemodels", "_universes": [ "chjoca" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "1.0.0", "date": "2026-06-26T08:34:19.000Z", "distro": "resolute", "arch": "aarch64", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "219b886fa4068385eb42b22d5a5a5eb7fae65f91770e9322cc0662423a7d79b1", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" }, { "r": "4.7.0", "os": "linux", "version": "1.0.0", "date": "2026-06-26T08:33:46.000Z", "distro": "resolute", "arch": "x86_64", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "660a688a2686457430ff09c79861ef1f1945bc26cc62d0993b225b3ea44480cd", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" }, { "r": "4.6.1", "os": "linux", "version": "1.0.0", "date": "2026-06-26T08:34:55.000Z", "distro": "resolute", "arch": "aarch64", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "90d4a3b632bb82a0dfb73db7834951fe90ad687225e1478aa53d50a6ce578c35", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" }, { "r": "4.6.1", "os": "linux", "version": "1.0.0", "date": "2026-06-26T08:33:47.000Z", "distro": "resolute", "arch": "x86_64", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "5cfdd4d242894d3da2c56cb3030604123122364ec20335e633b57e3eade5b75b", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" }, { "r": "4.5.3", "os": "mac", "version": "1.0.0", "date": "2026-06-26T08:33:56.000Z", "arch": "aarch64", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "0238abe71925e17ad28ba7173234822ed7e2b3ebdd087ce110207f729ec701f9", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" }, { "r": "4.5.3", "os": "mac", "version": "1.0.0", "date": "2026-06-26T08:35:58.000Z", "arch": "x86_64", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "96c3f3c223ce9cc4a57a3e5f25a299f1b290c7bed188b7a83ec01c8f037582be", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" }, { "r": "4.6.0", "os": "mac", "version": "1.0.0", "date": "2026-06-26T08:33:34.000Z", "arch": "aarch64", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "55bdf5a27d180a3877b29f84a768fd205b69eb90506278f21bb7b5faed6b52e0", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" }, { "r": "4.6.0", "os": "mac", "version": "1.0.0", "date": "2026-06-26T08:35:15.000Z", "arch": "x86_64", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "6d3a5cfdc1c12f85969c2323f68c5e008644e2e0a6cb68d7ff90749430206792", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" }, { "r": "4.6.0", "os": "wasm", "version": "1.0.0", "date": "2026-06-26T08:34:20.000Z", "arch": "emscripten", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "ca13d99ab941b1bf3c89cb0be25ecdab89a7b6cd24fb144ca378026d96cc68ed", "status": "success", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" }, { "r": "4.7.0", "os": "win", "version": "1.0.0", "date": "2026-06-26T08:33:12.000Z", "arch": "x86_64", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "64ffc64d2c7cda7b4db0c18de4839cbd0b837ff10be51d2f56dd48c847d0be71", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" }, { "r": "4.5.3", "os": "win", "version": "1.0.0", "date": "2026-06-26T08:32:45.000Z", "arch": "x86_64", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "166333f8b2b9e95c3040b9e425366549dd1422e19dde1207b04230030ef371e2", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" }, { "r": "4.6.0", "os": "win", "version": "1.0.0", "date": "2026-06-26T08:32:42.000Z", "arch": "x86_64", "commit": "e385bf57f71197756d052fd508b1bbae70ffe3b1", "fileid": "df55e06561a92d4a0d75f6ec9990a4017ca3a58bf1b3239f31f21e5e9ca70079", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/chjoca/actions/runs/28226527434" } ] }