FatTailsR (version 1.8-5)

Kiener Distributions and Fat Tails in Finance

Description

Kiener distributions K1, K2, K3, K4 and K7 to characterize distributions with left and right, symmetric or asymmetric fat tails in market finance, neuroscience and other disciplines. Two algorithms to estimate with a high accuracy distribution parameters, quantiles, value-at-risk and expected shortfall. Include power hyperbolas and power hyperbolic functions.

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Install

install.packages('FatTailsR')

Monthly Downloads

627

Version

1.8-5

License

GPL-2

Maintainer

Last Published

March 3rd, 2024

Functions in FatTailsR (1.8-5)