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PerformanceAnalytics (version 1.1.0)

Econometric tools for performance and risk analysis.

Description

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.

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Install

install.packages('PerformanceAnalytics')

Monthly Downloads

32,301

Version

1.1.0

License

GPL

Last Published

January 29th, 2013

Functions in PerformanceAnalytics (1.1.0)