S_P500

Log-returns of S&amp;P500 Index from 05-01-1960 untill 16-10-1987.

datasets

The R package proposes extreme value index estimators for heavy tailed models
by mean of order p <DOI:10.1016/j.csda.2012.07.019>, peaks over random threshold
<DOI:10.57805/revstat.v4i3.37> and a bias-reduced estimator
<DOI:10.1080/00949655.2010.547196>.
The package also computes moment, generalised Hill <DOI:10.2307/3318416>
and mixed moment estimates for the extreme value index.
High quantiles and value at risk estimators based on these estimators are implemented.

Leo Belzile

evt0

Mean of Order P, Peaks over Random Threshold Hill and High
Quantile Estimates

B. G. Manjunath

Frederico Caeiro

Maria Ivette. Gomes

Maria Isabel Fraga Alves

S_P500 function

A data frame with 6984 observations on the following variable.<dl>
 <dt><code>returns</code></dt>
<dd>a numeric vector</dd> 
</dl>

Format

S&amp;P500 — S_P500

A data frame with 6984 observations on the following variable.<dl>
 <dt><code>returns</code></dt>
<dd>a numeric vector</dd>

 
</dl>

S_P500: S&P500

Description

Usage

Arguments

Format

Details

Examples