Collection of econometric functions for performance and risk analysis. This package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible.
Version: | 1.4.3541 |
Depends: | R (≥ 3.0.0), xts (≥ 0.9) |
Imports: | zoo |
Suggests: | Hmisc, MASS, quantmod, gamlss, gamlss.dist, robustbase, quantreg, gplots |
Published: | 2014-09-16 |
Author: | Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb] |
Maintainer: | Brian G. Peterson <brian at braverock.com> |
License: | GPL-2 | GPL-3 |
Copyright: | (c) 2004-2014 |
URL: | http://r-forge.r-project.org/projects/returnanalytics/ |
NeedsCompilation: | yes |
Materials: | NEWS |
In views: | Finance |
CRAN checks: | PerformanceAnalytics results |
Reference manual: | PerformanceAnalytics.pdf |
Vignettes: |
Performance Attribution from Bacon PerformanceAnalytics Charts and Tables Reference PerformanceAnalytics Charts and Tables Presentation - Meielisalp - 2007 PerformanceAnalytics Data Mining Presentation - UseR - 2007 Portfolio Returns How to Present Tables in Plot Devices |
Package source: | PerformanceAnalytics_1.4.3541.tar.gz |
Windows binaries: | r-devel: PerformanceAnalytics_1.4.3541.zip, r-release: PerformanceAnalytics_1.4.3541.zip, r-oldrel: PerformanceAnalytics_1.4.3541.zip |
OS X El Capitan binaries: | r-release: PerformanceAnalytics_1.4.3541.tgz |
OS X Mavericks binaries: | r-oldrel: PerformanceAnalytics_1.4.3541.tgz |
Old sources: | PerformanceAnalytics archive |
Reverse depends: | PortfolioAnalytics, tidyquant |
Reverse imports: | JFE, SMNCensReg, tawny, tbl2xts |
Reverse suggests: | Dowd, pbo, timeSeries |
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