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: | 1.1.0 |
| Depends: | R (≥ 2.14.0), zoo, xts (≥ 0.8-9) |
| Suggests: | Hmisc, MASS, tseries, quadprog, sn, robustbase, quantreg, gplots, ff |
| Published: | 2013-01-29 |
| Author: | Peter Carl, Brian G. Peterson |
| Maintainer: | Brian G. Peterson <brian at braverock.com> |
| License: | GPL |
| Copyright: | (c) 2004-2012 |
| URL: | http://r-forge.r-project.org/projects/returnanalytics/ |
| NeedsCompilation: | no |
| In views: | Finance |
| CRAN checks: | PerformanceAnalytics results |
| Package source: | PerformanceAnalytics_1.1.0.tar.gz |
| MacOS X binary: | PerformanceAnalytics_1.1.0.tgz |
| Windows binary: | PerformanceAnalytics_1.1.0.zip |
| 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 How to Present Tables in Plot Devices |
| News/ChangeLog: | NEWS ChangeLog |
| Old sources: | PerformanceAnalytics archive |
| Reverse depends: | SMNCensReg, tawny |