R: Extreme Risk Measures

# Extreme Risk Measures

## Documentation for package ‘ExtremeRisks’ version 0.0.5

- DESCRIPTION file

## Help Pages

cpost_stat | Estimation of the scedasis function
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
estPOT | Estimation of generalized Pareto distributions
expectiles | Expectile Computation
ExpectMES | Marginal Expected Shortfall Expectile Based Estimation
extBQuant | Bayesian extreme quantile
extBQuantx | Conditional Bayesian extreme quantile
extMultiQuantile | Multidimensional Value-at-Risk (VaR) or Extreme Quantile (EQ) Estimation
extQuantile | Value-at-Risk (VaR) or Extreme Quantile (EQ) Estimation
fitdGPD | Maximum likelihood estimation of the parameters of the discrete generalized Pareto distribution
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
plotBayes | Plot empirical Bayes inference results for continuous and discrete generalized Pareto distribution
predDens | Predictive posterior density of peak-over-threshold models
predDensx | Conditional predictive posterior density of peaks-over-threshold models
predExpectiles | Extreme Expectile Estimation
predMultiExpectiles | Multidimensional Extreme Expectile Estimation
predQuant | Predictive quantile based on the generalized Pareto model
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
scedastic.test | Test on the effect of concomitant covariate on the extremes of the response variable
sp500 | Negative log-returns of S&P 500.
testTailHomo | Test on tail homogeneity