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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
4032.84 |
2026-04-09 windows/windows R-4.5 | fExtremes_4032.84.zip |
566.1 KiB |