fExtremes: Rmetrics - Modelling Extreme Events in Finance
Provides functions for analysing
and modelling extreme events in financial time Series. The
topics include: (i) data pre-processing, (ii) explorative
data analysis, (iii) peak over threshold modelling, (iv) block
maxima modelling, (v) estimation of VaR and CVaR, and (vi) the
computation of the extreme index.
| Version: |
4032.84 |
| Depends: |
R (≥ 2.15.1) |
| Imports: |
fBasics, fGarch, graphics, methods, stats, timeDate, timeSeries |
| Suggests: |
RUnit, tcltk |
| Published: |
2023-12-21 |
| DOI: |
10.32614/CRAN.package.fExtremes |
| Author: |
Diethelm Wuertz [aut],
Tobias Setz [aut],
Yohan Chalabi [aut],
Paul J. Northrop [cre, ctb] |
| Maintainer: |
Paul J. Northrop <p.northrop at ucl.ac.uk> |
| BugReports: |
https://r-forge.r-project.org/projects/rmetrics |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://www.rmetrics.org |
| NeedsCompilation: |
no |
| Materials: |
README NEWS ChangeLog |
| In views: |
Distributions, ExtremeValue, Finance |
| CRAN checks: |
fExtremes results |
Documentation:
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