PerformanceAnalytics
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swMATH9997CRANPerformanceAnalyticsMaRDI QIDQ21974FDOQ21974
Econometric Tools for Performance and Risk Analysis
Last update: 6 February 2020
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 2.0.4
Official website: http://cran.r-project.org/web/packages/PerformanceAnalytics/index.html
Source code repository: https://github.com/cran/PerformanceAnalytics
Cited In (47)
- Statistical arbitrage with vine copulas
- facmodTS
- facmodCS
- Pairs trading with partial cointegration
- SlidingWindows
- Pairs trading with partial cointegration
- BEKKs
- Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
- Revealing pairs-trading opportunities with long short-term memory networks
- Deep learning with long short-term memory networks for financial market predictions
- Estimation and decomposition of food price inflation risk
- quantmod
- timeSeries
- VaR
- fExoticOptions
- Metrics
- TTR
- xts
- GAS
- GUIDE
- Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S\&P 500
- ReporteRs
- tidyquant
- SMNCensReg
- xlsx
- rmgarch
- condMVNorm
- QuantQuote
- mvskPortfolios
- HeckmanEM
- mgarchBEKK
- RTL
- PCRA
- PortfolioAnalytics
- pedquant
- highOrderPortfolios
- RMOPI
- AssetAllocation
- portfolioBacktest
- Nearest comoment estimation with unobserved factors
- rmsfuns
- Semblance
- scRNAtools
- An \texttt{R} package for value at risk and expected shortfall
- Mixed value-at-risk and its numerical investigation
- Computational finance. An introductory course with R
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