PerformanceAnalytics: Econometric tools for performance and risk analysis: 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.
Keywords for this software
References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- Chan, Stephen; Nadarajah, Saralees; Afuecheta, Emmanuel: An R package for value at risk and expected shortfall (2016)
- Arratia, Argimiro: Computational finance. An introductory course with R (2014)