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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: 4032.84
Depends: R (≥ 2.15.1)
Imports: fBasics, fGarch, graphics, methods, stats, timeDate, timeSeries
Suggests: RUnit, tcltk
Published: 2023-12-21
DOI: 10.32614/CRAN.package.fExtremes
Author: Diethelm Wuertz [aut], Tobias Setz [aut], Yohan Chalabi [aut], Paul J. Northrop [cre, ctb]
Maintainer: Paul J. Northrop <p.northrop at ucl.ac.uk>
BugReports: https://r-forge.r-project.org/projects/rmetrics
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://www.rmetrics.org
NeedsCompilation: no
Materials: README NEWS ChangeLog
In views: Distributions, ExtremeValue, Finance
CRAN checks: fExtremes results

Documentation:

Reference manual: fExtremes.pdf

Downloads:

Package source: fExtremes_4032.84.tar.gz
Windows binaries: r-devel: fExtremes_4032.84.zip, r-release: fExtremes_4032.84.zip, r-oldrel: fExtremes_4032.84.zip
macOS binaries: r-release (arm64): fExtremes_4032.84.tgz, r-oldrel (arm64): fExtremes_4032.84.tgz, r-release (x86_64): fExtremes_4032.84.tgz, r-oldrel (x86_64): fExtremes_4032.84.tgz
Old sources: fExtremes archive

Reverse dependencies:

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

Linking:

Please use the canonical form https://CRAN.R-project.org/package=fExtremes to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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