fExtremes
Rmetrics - Modelling Extreme Events in Finance
Provides functions for analysing and modelling extreme events in financial time Series. The topics include: (i) data pre-processing, (ii) explorative data analysis, (iii) peak over threshold modelling, (iv) block maxima modelling, (v) estimation of VaR and CVaR, and (vi) the computation of the extreme index.
- Version4032.84
- R version≥ 2.15.1
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Last release12/21/2023
Documentation
Team
Paul J. Northrop
MaintainerShow author detailsTobias Setz
Show author detailsRolesAuthorDiethelm Wuertz
Show author detailsRolesAuthorYohan Chalabi
Show author detailsRolesAuthor
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Dependencies
- Imports4 packages
- Suggests1 package
- Reverse Depends1 package
- Reverse Imports2 packages
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