A standard idea in extreme value theory (see e.g. here, in French unfortunately) is that to estimate the 99.5% quantile (say), we just need to estimate a quantile of level 95% for observations exceeding the 90% quantile. In extreme value theory,...

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In “What the hell is a variance matrix?” I talked about the basics of variance matrices and highlighted challenges for estimating them in finance. Here we look more deeply at the most popular estimation technique. Models for variance matrices The types of variance estimates that are used in finance can be classified as: Sample estimate … Continue reading...

The doSMP package (and its companion package, revoIPC), previously bundled only with Revolution R, is now available on CRAN for use with open-source R under the GPL2 license. In short, doSMP makes it easy to do SMP parallel processing on a Windows box with multiple processors. (It works on Mac and Linux too, but it's been relatively easy to...