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
Downloads
Yesterday | 37 +6% |
Last 7 days | 341 +13% |
Last 30 days | 1.213 -17% |
Last 90 days | 4.191 +14% |
Last 365 days | 13.766 -8% |