ExtremeRisks
Extreme Risk Measures
A set of procedures for estimating risks related to extreme events via risk measures such as Expectile, Value-at-Risk, etc. is provided. Estimation methods for univariate independent observations and temporal dependent observations are available. The methodology is extended to the case of independent multidimensional observations. The statistical inference is performed through parametric and non-parametric estimators. Inferential procedures such as confidence intervals, confidence regions and hypothesis testing are obtained by exploiting the asymptotic theory. Adapts the methodologies derived in Padoan and Stupfler (2020)
- Version0.0.4
- R version≥ 3.5.0
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release08/27/2020
Documentation
Team
Simone Padoan
Gilles Stupfler
Show author detailsRolesAuthorBocconi Institute for Data Science
Analytics
Show author detailsRolesfndFrench National Research
Show author detailsRolesfnd
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- Depends1 package
- Imports6 packages