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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.

Functions (13)

00Index

Documentation for package ‘fExtremes’ version 3042.82

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

data

Time Series Data Sets

fExtremes

Rmetrics - Modelling Extreme Events in Finance

v3042.82
GPL (>= 2)
Authors
Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb]
Initial release
2017-11-12

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