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