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.


Reference manual

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3042.82 by Tobias Setz, 2 years ago


Browse source code at https://github.com/cran/fExtremes

Authors: Diethelm Wuertz [aut] , Tobias Setz [cre] , Yohan Chalabi [ctb]

Documentation:   PDF Manual  

Task views: Probability Distributions, Empirical Finance, Extreme Value Analysis

GPL (>= 2) license

Imports methods, graphics, stats

Depends on timeDate, timeSeries, fBasics, fGarch

Suggests RUnit, tcltk

Imported by CompDist, GEVStableGarch, ev.trawl, extremeStat.

Depended on by AssocTests, CramTest.

Suggested by fitteR.

See at CRAN