fExtremes

Rmetrics - Modelling Extreme Events in Finance

Tobias Setz, Yohan Chalabi, Diethelm Wuertz

Last update: 21 December 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 4021.83, 191.10057, 200.10058, 201.10059, 201.10060, 220.10063, 221.10065, 240.10067, 240.10068, 251.70, 260.71, 260.72, 260.73, 270.74, 270.75, 290.76, 2100.77, 2160.78, 2160.79, 3010.80, 3010.81, 3042.82, 4032.84

Source code repository: https://github.com/cran/fExtremes

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.