fExtremes (3042.82)

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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.

Maintainer: Tobias Setz
Author(s): Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb]

License: GPL (>= 2)

Uses: fBasics, fGarch, timeDate, timeSeries, RUnit
Reverse depends: AssocTests, CramTest, PerformanceAnalytics, Rmetrics
Reverse suggests: fitteR, lax, PerformanceAnalytics

Released over 2 years ago.

8 previous versions



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