fExtremes-internal

.depd

.devd

.emaTA

.garch11MetricsPlot

.gev1Plot

.gev2Plot

.gev3Plot

.gev4Plot

.gevFit

.gevLLH

.gevmleFit

.gevpwmFit

.gevrlevelLLH

.gpd1Plot

.gpd2Plot

.gpd3Plot

.gpd4Plot

.gpdLLH

.gpdmleFit

.gpdmleFitCheck

.gpdpwmFit

.gpdpwmFitCheck

.gumLLH

.gummleFit

.gumpwmFit

.meanExcessPlot

.pepd

.pevd

.qepd

.qevd

.repd

.revd

.riskMetricsPlot

.tailSlider.Thresholds

.tailSlider.conf

.tailSlider.counter

.tailSlider.last.Quantile

.tailSlider.last.nThresholds

.tailSlider.param

internal

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.

Paul Northrop

fExtremes

Rmetrics - Modelling Extreme Events in Finance

Diethelm Wuertz

Tobias Setz

Yohan Chalabi

fExtremes-internal function

Internal fExtremes functions — fExtremes-internal

Internal fExtremes functions

fExtremes-internal: Internal fExtremes functions

Description

Arguments

Details