FatTailsR

Kiener Distributions and Fat Tails in Finance

CRAN Package

Kiener distributions K1, K2, K3, K4 and K7 to characterize distributions with left and right, symmetric or asymmetric fat tails in market finance, neuroscience and other disciplines. Two algorithms to estimate with a high accuracy distribution parameters, quantiles, value-at-risk and expected shortfall. Include power hyperbolas and power hyperbolic functions.

  • Version1.8-5
  • R version≥ 3.1.0
  • LicenseGPL-2
  • Needs compilation?No
  • Last release03/03/2024

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  • Depends1 package
  • Imports5 packages
  • Suggests2 packages
  • Reverse Suggests1 package