Library of econometric functions for performance and risk analysis. This library aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, this library is most tested on return (rather than price) data on a monthly scale, but most functions will work with daily or irregular return data as well.
| Version: | 1.0.0 |
| Depends: | R (≥ 2.9.0), zoo, xts (≥ 0.6-8) |
| Suggests: | Hmisc, MASS, tseries, quadprog, sn, robustbase, quantreg |
| Published: | 2009-10-27 |
| Author: | Peter Carl, Brian G. Peterson |
| Maintainer: | Brian G. Peterson <brian at braverock.com> |
| License: | GPL |
| Copyright: | (c) 2004-2009 |
| URL: | http://braverock.com/R/ |
| In views: | Finance |
| CRAN checks: | PerformanceAnalytics results |
| Package source: | PerformanceAnalytics_1.0.0.tar.gz |
| MacOS X binary: | PerformanceAnalytics_1.0.0.tgz |
| Windows binary: | PerformanceAnalytics_1.0.0.zip |
| Reference manual: | PerformanceAnalytics.pdf |
| Vignettes: |
PerformanceAnalytics Charts and Tables Reference PerformanceAnalytics Charts and Tables Presentation - Meielisalp - 2007 PerformanceAnalytics Data Mining Presentation - UseR - 2007 |
| News/ChangeLog: | NEWS ChangeLog |
| Old sources: | PerformanceAnalytics archive |
| Reverse suggests: | tawny |