Rmetrics - Modelling Extreme Events in Finance
Modelling Extreme Events in Finance
Time Series Data Sets
Extremes Data Preprocessing
Extremal Index Estimation
Explorative Data Analysis
Internal fExtremes functions
Generalized Extreme Value Distribution
Generalized Extreme Value Modelling
Generalized Extreme Value Modelling
Generalized Extreme Value Modelling
Generalized Pareto Distribution
GPD Distributions for Extreme Value Theory
GPD Distributions for Extreme Value Theory
Value-at-Risk
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.