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.
|Author||Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb]|
|Date of publication||2017-11-16 16:36:52|
|Maintainer||Tobias Setz <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on R-Forge|
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