RPESE

Estimates of Standard Errors for Risk and Performance Measures

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>.

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Description file content

Package
RPESE
Type
Package
Title
Estimates of Standard Errors for Risk and Performance Measures
Version
1.0
Date
2019-10-26
Author
Anthony Christidis , Xin Chen
Maintainer
Anthony Christidis
Description
Estimates of standard errors of popular risk and performance measures for asset or portfolio returns using methods as described in Chen and Martin (2019) .
Biarch
true
License
GPL (>= 2)
Imports
RPEIF, RPEGLMEN, PerformanceAnalytics, xts, zoo, robustbase, boot, sandwich
Suggests
testthat, R.rsp
Depends
RoxygenNote
6.1.1
VignetteBuilder
R.rsp
LazyData
true
NeedsCompilation
no
Packaged
2019-11-05 18:59:07 UTC; antho
Repository
CRAN
Date/Publication
2019-11-06 12:50:02 UTC

install.packages('RPESE')

1.0

9 days ago

Anthony Christidis

GPL (>= 2)

Imports

RPEIF, RPEGLMEN, PerformanceAnalytics, xts, zoo, robustbase, boot, sandwich

Suggests

testthat, R.rsp

Discussions