fExtremes: 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.

Version: 3042.82
Depends: R (≥ 2.15.1), timeDate, timeSeries, fBasics, fGarch
Imports: methods, graphics, stats
Suggests: RUnit, tcltk
Published: 2017-11-17
Author: Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb]
Maintainer: Tobias Setz <tobias.setz at live.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: http://www.rmetrics.org
NeedsCompilation: no
Materials: ChangeLog
In views: Distributions, ExtremeValue, Finance
CRAN checks: fExtremes results

Downloads:

Reference manual: fExtremes.pdf
Package source: fExtremes_3042.82.tar.gz
Windows binaries: r-devel: fExtremes_3042.82.zip, r-release: fExtremes_3042.82.zip, r-oldrel: fExtremes_3042.82.zip
OS X El Capitan binaries: r-release: fExtremes_3042.82.tgz
OS X Mavericks binaries: r-oldrel: fExtremes_3042.82.tgz
Old sources: fExtremes archive

Reverse dependencies:

Reverse depends: AssocTests
Reverse imports: CompDist, extremeStat, GEVStableGarch, ldstatsHD
Reverse suggests: fitteR

Linking:

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