CRAN/E | fExtremes

fExtremes

Rmetrics - Modelling Extreme Events in Finance

Installation

About

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.

www.rmetrics.org
Bug report File report

Key Metrics

Version 4021.83
R ≥ 2.15.1
Published 2022-08-06 420 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks fExtremes results

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Maintainer

Maintainer

Paul J. Northrop

p.northrop@ucl.ac.uk

Authors

Diethelm Wuertz

aut

Tobias Setz

aut

Yohan Chalabi

aut

Paul J. Northrop

cre / ctb

Material

README
NEWS
ChangeLog
Reference manual
Package source

In Views

Distributions
ExtremeValue
Finance

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

fExtremes archive

Depends

R ≥ 2.15.1

Imports

fBasics
fGarch
graphics
methods
stats
timeDate
timeSeries

Suggests

RUnit
tcltk

Reverse Depends

AssocTests

Reverse Imports

CompDist
extremeStat

Reverse Suggests

fitteR
lax