fExtremes: Rmetrics - Modelling Extreme Events in Finance
Version 3010.81

Environment for teaching "Financial Engineering and Computational Finance"

AuthorRmetrics Core Team, Yohan Chalabi [ctb], Tobias Setz [ctb], Diethelm Wuertz [aut, cre]
Date of publication2014-11-11 10:51:41
MaintainerTobias Setz <tobias.setz@rmetrics.org>
LicenseGPL (>= 2)
Version3010.81
URL http://www.rmetrics.org
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("fExtremes", repos="http://R-Forge.R-project.org")

Popular man pages

00Extremes-package: Modelling Extreme Events in Finance
data: Time Series Data Sets
ExtremesData: Explorative Data Analysis
GevDistribution: Generalized Extreme Value Distribution
GpdModelling: GPD Distributions for Extreme Value Theory
GpdRisk: GPD Distributions for Extreme Value Theory
ValueAtRisk: Value-at-Risk
See all...

All man pages Function index File listing

Man pages

00Extremes-package: Modelling Extreme Events in Finance
data: Time Series Data Sets
DataPreprocessing: Extremes Data Preprocessing
ExtremeIndex: Extremal Index Estimation
ExtremesData: Explorative Data Analysis
GevDistribution: Generalized Extreme Value Distribution
GevMdaEstimation: Generalized Extreme Value Modelling
GevModelling: Generalized Extreme Value Modelling
GevRisk: Generalized Extreme Value Modelling
GpdDistribution: Generalized Pareto Distribution
GpdModelling: GPD Distributions for Extreme Value Theory
GpdRisk: GPD Distributions for Extreme Value Theory
ValueAtRisk: Value-at-Risk

Functions

CVaR Man page Source code
DataPreprocessing Man page
ExtremeIndex Man page
ExtremesData Man page
GevDistribution Man page
GevMdaEstimation Man page
GevModelling Man page
GevRisk Man page
GpdDistribution Man page
GpdModelling Man page
TimeSeriesData Man page
VaR Man page Source code
ValueAtRisk Man page
blockMaxima Man page Source code
blockTheta Man page Source code
bmwRet Man page
clusterTheta Man page Source code
danishClaims Man page
deCluster Man page Source code
depd Source code
devd Source code
dgev Man page Source code
dgpd Man page Source code
emaTA Source code
emdPlot Man page Source code
exindexPlot Man page Source code
exindexesPlot Man page Source code
fExtremes Man page
fExtremes-package Man page
fGEVFIT Man page
fGEVFIT-class Man page
fGPDFIT Man page
fGPDFIT-class Man page
fTHETA Man page
fTHETA-class Man page
ferrosegersTheta Man page Source code
findThreshold Man page Source code
garch11MetricsPlot Source code
gev1Plot Source code
gev2Plot Source code
gev3Plot Source code
gev4Plot Source code
gevFit Man page Source code Source code
gevLLH Source code
gevMoments Man page Source code
gevSim Man page Source code
gevSlider Man page Source code
gevmleFit Source code
gevpwmFit Source code
gevrlevelLLH Source code
gevrlevelPlot Man page Source code
ghMeanExcessFit Man page Source code
ghtMeanExcessFit Man page Source code
gpd1Plot Source code
gpd2Plot Source code
gpd3Plot Source code
gpd4Plot Source code
gpdFit Man page Source code
gpdLLH Source code
gpdMoments Man page Source code
gpdQPlot Man page Source code
gpdQuantPlot Man page Source code
gpdRisk Man page
gpdRiskMeasures Man page Source code
gpdSfallPlot Man page Source code
gpdShapePlot Man page Source code
gpdSim Man page Source code Source code
gpdSlider Man page Source code
gpdTailPlot Man page Source code
gpdmleFit Source code
gpdmleFitCheck Source code
gpdpwmFit Source code
gpdpwmFitCheck Source code
gumLLH Source code
gumbelFit Man page Source code
gumbelSim Man page Source code
gummleFit Source code
gumpwmFit Source code
hillPlot Man page Source code
hypMeanExcessFit Man page Source code
lilPlot Man page Source code
mePlot Man page Source code
meanExcessPlot Source code
mrlPlot Man page Source code
msratioPlot Man page Source code
mxfPlot Man page Source code
nigMeanExcessFit Man page Source code
normMeanExcessFit Man page Source code
onAttach Source code
pepd Source code
pevd Source code
pgev Man page Source code
pgpd Man page Source code
plot.fGEVFIT Man page Source code
plot.fGPDFIT Man page Source code
pointProcess Man page Source code
qepd Source code
qevd Source code
qgev Man page Source code
qgpd Man page Source code
qqparetoPlot Man page Source code
recordsPlot Man page Source code
repd Source code
revd Source code
rgev Man page Source code
rgpd Man page Source code
riskMetricsPlot Source code
runTheta Man page Source code
shaparmDEHaan Man page Source code
shaparmHill Man page Source code
shaparmPickands Man page Source code
shaparmPlot Man page Source code
show,fGEVFIT-method Man page
show,fGPDFIT-method Man page
show,fTHETA-method Man page
sllnPlot Man page Source code
ssrecordsPlot Man page Source code
summary.fGEVFIT Man page Source code
summary.fGPDFIT Man page Source code
tailPlot Man page Source code
tailRisk Man page Source code
tailSlider Man page Source code
thetaSim Man page Source code
xacfPlot Man page Source code

Files

ChangeLog
DESCRIPTION
NAMESPACE
R
R/DataPreprocessing.R
R/ExtremeIndex.R
R/ExtremesData.R
R/GevDistribution.R
R/GevFit.R
R/GevMdaEstimation.R
R/GevPrintPlotSummary.R
R/GevRisk.R
R/GevSim.R
R/GpdDistribution.R
R/GpdFit.R
R/GpdPlot.R
R/GpdRisk.R
R/GpdShow.R
R/GpdSim.R
R/GpdSow.R
R/GpdSummary.R
R/MeanExcessFit.R
R/ValueAtRisk.R
R/meanExcessPlot.R
R/metrics.R
R/zzz.R
data
data/bmwRet.csv.gz
data/danishClaims.csv.gz
inst
inst/COPYRIGHT.html
inst/unitTests
inst/unitTests/Makefile
inst/unitTests/runTests.R
inst/unitTests/runit.DataPreprocessing.R
inst/unitTests/runit.ExtremeIndex.R
inst/unitTests/runit.ExtremesData.R
inst/unitTests/runit.GevDistribution.R
inst/unitTests/runit.GevMdaEstimation.R
inst/unitTests/runit.GevModelling.R
inst/unitTests/runit.GevRisk.R
inst/unitTests/runit.GpdDistribution.R
inst/unitTests/runit.GpdModelling.R
inst/unitTests/runit.GpdRisk.R
man
man/00Extremes-package.Rd
man/DataPreprocessing.Rd
man/ExtremeIndex.Rd
man/ExtremesData.Rd
man/GevDistribution.Rd
man/GevMdaEstimation.Rd
man/GevModelling.Rd
man/GevRisk.Rd
man/GpdDistribution.Rd
man/GpdModelling.Rd
man/GpdRisk.Rd
man/ValueAtRisk.Rd
man/data.Rd
tests
tests/doRUnit.R
fExtremes documentation built on May 21, 2017, 3:23 a.m.

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