PerformanceAnalytics

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Authors Brian G. Peterson, Peter Carl

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

(48)

• facmodTS
• facmodCS
• Statistical arbitrage with vine copulas
• Pairs trading with partial cointegration
• Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
• SlidingWindows
• Pairs trading with partial cointegration
• BEKKs
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S\&P 500
• An \texttt{R} package for value at risk and expected shortfall
• Deep learning with long short-term memory networks for financial market predictions
• Estimation and decomposition of food price inflation risk
• Mixed value-at-risk and its numerical investigation
• RATS
• quantmod
• timeSeries
• VaR
• fExoticOptions
• Metrics
• TTR
• xts
• GAS
• GUIDE
• ReporteRs
• tidyquant
• SMNCensReg
• xlsx
• rmgarch
• condMVNorm
• QuantQuote
• mvskPortfolios
• HeckmanEM
• mgarchBEKK
• Nearest comoment estimation with unobserved factors
• RTL
• PCRA
• PortfolioAnalytics
• pedquant
• highOrderPortfolios
• RMOPI
• AssetAllocation
• portfolioBacktest
• Computational finance. An introductory course with R
• rmsfuns
• Semblance
• scRNAtools
• Revealing pairs-trading opportunities with long short-term memory networks

This page was built for software: PerformanceAnalytics