
Folks,
 
I see that the definition of VaR.Beyond() in the PerformanceAnalytics package includes a parameter called periods, to determine the expected shortfall across various time horizons. However, it is not used within the function, at least not in PerformanceAnalytics_0.9.6, which is what I have. Has this been remedied? 
 
Likewise, does it make sense to have a multiperiod VaR method as well?
 
I'm not sure how to incorporate the notion of horizons into the computation or I'd have done this myself. Is there any paper that helps to explain the concept?
 
Thanks,
Murali
 
Cc: Brian Peterson
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