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, 4 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, extremeStat.

Depended on by AssocTests.

Suggested by fitteR, lax.

See at CRAN