Rmetrics - Modelling Extreme Events in Finance
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.
R (>= 2.15.1), timeDate, timeSeries, fBasics, fGarch

c(person("Diethelm", "Wuertz", role = "aut")
, person("Tobias", "Setz", role = "aut")
, person("Yohan", "Chalabi", role = "aut")
, person(given = c("Paul", "J."), family = "Northrop",
role = c("cre", "ctb"), email = "p.northrop@ucl.ac.uk") )
fBasics, fGarch, graphics, methods, stats, timeDate,
timeSeries
Diethelm Wuertz [aut],
Tobias Setz [aut],
Yohan Chalabi [aut],
Paul J. Northrop [cre, ctb]

Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
Diethelm Wuertz, Yohan Chalabi, Michal Miklovic
R (>= 2.6.0), stats, graphics, methods, timeDate, timeSeries,
fBasics (>= 2100.77)

Diethelm Wuertz and Yohan Chalabi with contribution from Michal
Miklovic, Chris Boudt, Pierre Chausse and others
R (>= 2.6.0), stats, graphics, methods, timeDate, timeSeries,
fBasics (>= 2100.78)

R (>= 2.15.0), stats, graphics, methods, timeDate, timeSeries,
fBasics (>= 2100.78)

R (>= 2.6.0), stats, graphics, methods, timeDate, timeSeries, fBasics

R (>= 2.6.0), stats, graphics, methods, timeDate, timeSeries,
fBasics

Environment for teaching "Financial Engineering and
Computational Finance".

Diethelm Wuertz [aut],
Tobias Setz [cre],
Yohan Chalabi [ctb],
Chris Boudt [ctb],
Pierre Chausse [ctb],
Michal Miklovac [ctb]
Provides a collection of functions to
analyze and model heteroskedastic behavior in financial time
series models.
fastICA, Matrix, graphics, methods, stats, utils

Diethelm Wuertz [aut],
Yohan Chalabi [aut],
Tobias Setz [aut,cre],
Chris Boudt [ctb],
Pierre Chausse [ctb],
Michal Miklovac [ctb],
Martin Maechler [aut]
Analyze and model heteroskedastic behavior in financial time series.
fBasics, timeDate, timeSeries, fastICA, Matrix, graphics,
methods, stats, utils