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

Documentation:

Reference manual:

fExtremes.pdf

Downloads:

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
macOS binaries:	r-release (arm64): fExtremes_3042.82.tgz, r-oldrel (arm64): fExtremes_3042.82.tgz, r-release (x86_64): fExtremes_3042.82.tgz, r-oldrel (x86_64): fExtremes_3042.82.tgz
Old sources:	fExtremes archive

Reverse dependencies:

Reverse depends:	AssocTests
Reverse imports:	CompDist, extremeStat
Reverse suggests:	fitteR, lax

Linking:

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