fExtremes (Q25888): Difference between revisions

← Older edit

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+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.
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+Software:25888

Latest revision as of 15:59, 21 March 2024

Rmetrics - Modelling Extreme Events in Finance

Language	Label	Description	Also known as
English	fExtremes	Rmetrics - Modelling Extreme Events in Finance

Statements

instance of

R package

0 references

software version identifier

4021.83

publication date

6 August 2022

0 references

191.10057

publication date

4 July 2004

0 references

200.10058

publication date

13 October 2004

0 references

201.10059

publication date

20 April 2005

0 references

201.10060

publication date

18 May 2005

0 references

220.10063

publication date

2 November 2005

0 references

221.10065

publication date

22 February 2006

0 references

240.10067

publication date

13 October 2006

0 references

240.10068

publication date

22 October 2006

0 references

251.70

publication date

10 July 2007

0 references

260.71

publication date

2 October 2007

0 references

260.72

publication date

8 October 2007

0 references

260.73

publication date

20 June 2008

0 references

270.74

publication date

23 October 2008

0 references

270.75

publication date

27 October 2008

0 references

290.76

publication date

16 April 2009

0 references

2100.77

publication date

29 October 2012

0 references

2160.78

publication date

30 November 2012

0 references

2160.79

publication date

3 April 2013

0 references

3010.80

publication date

1 May 2013

0 references

3010.81

publication date

17 December 2013

0 references

3042.82

publication date

17 November 2017

0 references

4032.84

publication date

21 December 2023

0 references

programmed in

R

0 references

last update

21 December 2023

0 references

maintained by

Paul J. Northrop

0 references

description

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.

0 references

0 references

0 references

0 references

GNU General Public License, version 2.0

0 references

GNU General Public License, version 3.0