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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 | Package: fExtremes
Title: Rmetrics - Modelling Extreme Events in Finance
Date: 2017-11-12
Version: 3042.82
Author: Diethelm Wuertz [aut],
Tobias Setz [cre],
Yohan Chalabi [ctb]
Maintainer: Tobias Setz <tobias.setz@live.com>
Description: 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.
Depends: R (>= 2.15.1), timeDate, timeSeries, fBasics, fGarch
Imports: methods, graphics, stats
Suggests: RUnit, tcltk
LazyData: yes
License: GPL (>= 2)
URL: http://www.rmetrics.org
NeedsCompilation: no
Packaged: 2017-11-17 06:59:49 UTC; Tobias Setz
Repository: CRAN
Date/Publication: 2017-11-17 08:38:27 UTC
Built: R 3.4.2; ; "Sat, 18 Nov 2017 09:43:13 -0600"; unix
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