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ExtremeRisks  

Extreme Risk Measures
View on CRAN: Click here


Download and install ExtremeRisks package within the R console
Install from CRAN:
install.packages("ExtremeRisks")

Install from Github:
library("remotes")
install_github("cran/ExtremeRisks")

Install by package version:
library("remotes")
install_version("ExtremeRisks", "0.0.4")



Attach the package and use:
library("ExtremeRisks")
Maintained by
Simone Padoan
[Scholar Profile | Author Map]
First Published: 2020-05-07
Latest Update: 2020-08-27
Description:
A set of procedures for estimating risks related to extreme events via risk measures such as Expectile, Value-at-Risk, etc. is provided. Estimation methods for univariate independent observations and temporal dependent observations are available. The methodology is extended to the case of independent multidimensional observations. The statistical inference is performed through parametric and non-parametric estimators. Inferential procedures such as confidence intervals, confidence regions and hypothesis testing are obtained by exploiting the asymptotic theory. Adapts the methodologies derived in Padoan and Stupfler (2020) , Padoan and Stupfler (2020) , Daouia et al. (2018) , Drees (2000) , Drees (2003) , de Haan and Ferreira (2006) , de Haan et al. (2016) .
How to cite:
Simone Padoan (2020). ExtremeRisks: Extreme Risk Measures. R package version 0.0.4, https://cran.r-project.org/web/packages/ExtremeRisks. Accessed 27 Feb. 2025.
Previous versions and publish date:
0.0.3 (2020-05-07 12:20)
Other packages that cited ExtremeRisks R package
View ExtremeRisks citation profile
Other R packages that ExtremeRisks depends, imports, suggests or enhances
Complete documentation for ExtremeRisks
Functions, R codes and Examples using the ExtremeRisks R package
Some associated functions: EBTailIndex . ExpectMES . HTailIndex . HypoTesting . MLTailIndex . MomTailIndex . MultiHTailIndex . QuantMES . dowjones . estExpectiles . estExtLevel . estMultiExpectiles . expectiles . extMultiQuantile . extQuantile . predExpectiles . predMultiExpectiles . rbtimeseries . rmdata . rtimeseries . sp500 . 
Some associated R codes: Full ExtremeRisks package functions and examples
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