Extreme Risk Measures

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Documentation for package ‘ExtremeRisks’ version 0.0.4

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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.