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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 |
| 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 |
| Reference manual: | fExtremes.pdf |
| 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 depends: | AssocTests |
| Reverse imports: | CompDist, extremeStat |
| Reverse suggests: | fitteR, lax |
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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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