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.
|Author||Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb]|
|Date of publication||2017-11-17 08:38:27 UTC|
|Maintainer||Tobias Setz <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
Install the latest version of this package by entering the following in R:
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.