RPESE: Estimates of Standard Errors for Risk and Performance Measures (original) (raw)
Estimates of standard errors of popular risk and performance measures for asset or portfolio returns using methods as described in Chen and Martin (2021) <doi:10.21314/JOR.2020.446>.
| Version: | 1.2.5 |
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| Imports: | xts, zoo, boot, RPEIF, RPEGLMEN, RobStatTM |
| Suggests: | testthat, R.rsp, PerformanceAnalytics |
| Published: | 2022-09-08 |
| DOI: | 10.32614/CRAN.package.RPESE |
| Author: | Anthony Christidis, Xin Chen |
| Maintainer: | Anthony Christidis <anthony.christidis at stat.ubc.ca> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | RPESE results |
Documentation:
| Reference manual: | RPESE.html , <RPESE.pdf> |
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| Vignettes: | Risk and Performance Estimators Standared Errors (RPESE) (source) |
Downloads:
| Package source: | RPESE_1.2.5.tar.gz |
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| Windows binaries: | r-devel: RPESE_1.2.5.zip, r-release: RPESE_1.2.5.zip, r-oldrel: RPESE_1.2.5.zip |
| macOS binaries: | r-release (arm64): RPESE_1.2.5.tgz, r-oldrel (arm64): RPESE_1.2.5.tgz, r-release (x86_64): RPESE_1.2.5.tgz, r-oldrel (x86_64): RPESE_1.2.5.tgz |
| Old sources: | RPESE archive |
Reverse dependencies:
| Reverse suggests: | PerformanceAnalytics |
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Linking:
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