Estimates of standard errors of popular risk and performance measures for asset or portfolio returns using methods as described in Chen and Martin (2019) <https://ssrn.com/abstract=3085672>.
| Version: | 1.0.5 |
| Imports: | xts, zoo, boot, sandwich, RPEIF, RPEGLMEN, PerformanceAnalytics |
| Suggests: | testthat, R.rsp |
| Published: | 2020-06-19 |
| 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 |
| Reference manual: | RPESE.pdf |
| Vignettes: |
Risk and Performance Estimators Standared Errors (RPESE) |
| Package source: | RPESE_1.0.5.tar.gz |
| Windows binaries: | r-devel: RPESE_1.0.5.zip, r-release: RPESE_1.0.5.zip, r-oldrel: RPESE_1.0.5.zip |
| macOS binaries: | r-release: RPESE_1.0.5.tgz, r-oldrel: RPESE_1.0.5.tgz |
| Old sources: | RPESE archive |
| Reverse suggests: | PerformanceAnalytics |
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