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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.
Getting started
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Package details |
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| Author | Diethelm Wuertz [aut], Tobias Setz [aut], Yohan Chalabi [aut], Paul J. Northrop [cre, ctb] |
| Maintainer | Paul J. Northrop <p.northrop@ucl.ac.uk> |
| License | GPL (>= 2) |
| Version | 4032.84 |
| URL | https://www.rmetrics.org |
| Package repository | View on CRAN |
| Installation |
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