fExtremes (Q25888)
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Rmetrics - Modelling Extreme Events in Finance
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | fExtremes |
Rmetrics - Modelling Extreme Events in Finance |
Statements
21 December 2023
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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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expanded from: GPL (≥ 2) (English)
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