fExtremes: Rmetrics - Modelling Extreme Events in Finance

Provides functions for analyzing and modeling extreme events in financial time Series. The topics include: (i) data proeprocessing, (ii) explorative data analysis, (iii) peak over threshold modeling, (iv) block maxima modeling, (v) estimation of VaR and CVaR, and (vi) the computation of the extreme index.

Getting started

Package details

AuthorDiethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb]
MaintainerTobias Setz <[email protected]>
LicenseGPL (>= 2)
URL http://www.rmetrics.org
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("fExtremes", repos="http://R-Forge.R-project.org")

Try the fExtremes package in your browser

Any scripts or data that you put into this service are public.

fExtremes documentation built on Nov. 17, 2017, 2:21 p.m.