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braverock
PerformanceAnalytics:Econometric Tools for Performance and Risk Analysis
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.
Maintained by Brian G. Peterson. Last updated 4 months ago.
222 stars 15.93 score 4.8k scripts 20 dependents
cran
JFE:Tools for Analyzing Time Series Data of Just Finance and Econometrics
Offers procedures to support financial-economic time series modelling and enhanced procedures for computing the investment performance indices of Bacon (2004) <DOI:10.1002/9781119206309>.
Maintained by Ho Tsung-wu. Last updated 2 months ago.
2 stars 1.60 score