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fExtremes  

Rmetrics - Modelling Extreme Events in Finance
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("fExtremes", "4032.84")



Attach the package and use:
library("fExtremes")
Maintained by
Paul J. Northrop
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2004-07-04
Latest Update: 2023-12-21
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.
How to cite:
Paul J. Northrop (2004). fExtremes: Rmetrics - Modelling Extreme Events in Finance. R package version 4032.84, https://cran.r-project.org/web/packages/fExtremes. Accessed 26 Aug. 2026.
Previous versions and publish date:
(2026-07-09 07:37), 191.10057 (2004-07-04 16:23), 200.10058 (2004-10-13 14:20), 201.10059 (2005-04-20 10:05), 201.10060 (2005-05-18 17:45), 220.10063 (2005-11-02 22:40), 221.10065 (2006-02-22 09:40), 240.10067 (2006-10-13 13:14), 240.10068 (2006-10-22 21:07), 251.70 (2007-07-10 11:22), 260.71 (2007-10-02 13:18), 260.72 (2007-10-08 21:57), 260.73 (2008-06-20 10:59), 270.74 (2008-10-23 18:53), 270.75 (2008-10-27 20:44), 290.76 (2009-04-16 09:00), 2100.77 (2012-10-29 08:58), 2160.78 (2012-11-30 11:09), 2160.79 (2013-04-03 01:00), 3010.80 (2013-05-01 07:42), 3010.81 (2013-12-17 23:16), 3042.82 (2017-11-17 09:38), 4021.83 (2022-08-06 16:10)
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Complete documentation for fExtremes
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