Extreme Risk Measures
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Documentation for package ‘ExtremeRisks’ version 0.0.4
Help Pages
| dowjones | Negative log-returns of DOW JONES. |
| EBTailIndex | Expectile Based Tail Index Estimation |
| estExpectiles | High Expectile Estimation |
| estExtLevel | Extreme Level Estimation |
| estMultiExpectiles | Multidimensional High Expectile Estimation |
| expectiles | Expectile Computation |
| ExpectMES | Marginal Expected Shortfall Expectile Based Estimation |
| extMultiQuantile | Multidimensional Value-at-Risk (VaR) or Extreme Quantile (EQ) Estimation |
| extQuantile | Value-at-Risk (VaR) or Extreme Quantile (EQ) Estimation |
| HTailIndex | Hill Tail Index Estimation |
| HypoTesting | Wald-Type Hypothesis Testing |
| MLTailIndex | Maximum Likelihood Tail Index Estimation |
| MomTailIndex | Moment based Tail Index Estimation |
| MultiHTailIndex | Multidimensional Hill Tail Index Estimation |
| predExpectiles | Extreme Expectile Estimation |
| predMultiExpectiles | Multidimensional Extreme Expectile Estimation |
| QuantMES | Marginal Expected Shortfall Quantile Based Estimation |
| rbtimeseries | Simulation of Two-Dimensional Temporally Dependent Observations |
| rmdata | Simulation of d-Dimensional Temporally Independent Observations |
| rtimeseries | Simulation of One-Dimensional Temporally Dependent Observations |
| sp500 | Negative log-returns of S&P 500. |