Nothing
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
Browse package contents
Package details |
|
|---|---|
| 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 R-Forge |
| Installation |
Install the latest version of this package by entering the following in R:
|
Try the fExtremes package in your browser
Any scripts or data that you put into this service are public.
