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

Package details

AuthorDiethelm Wuertz [aut], Tobias Setz [aut], Yohan Chalabi [aut], Paul J. Northrop [cre, ctb]
MaintainerPaul J. Northrop <p.northrop@ucl.ac.uk>
LicenseGPL (>= 2)
URL https://www.rmetrics.org
Package repositoryView on CRAN
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fExtremes documentation built on Aug. 6, 2022, 5:05 p.m.