portvine: Vine Based (Un)Conditional Portfolio Risk Measure Estimation

Following Sommer (2022) <https://mediatum.ub.tum.de/1658240> portfolio level risk estimates (e.g. Value at Risk, Expected Shortfall) are estimated by modeling each asset univariately by an ARMA-GARCH model and then their cross dependence via a Vine Copula model in a rolling window fashion. One can even condition on variables/time series at certain quantile levels to stress test the risk measure estimates.

Version: 1.0.1
Depends: R (≥ 2.10)
Imports: checkmate, data.table, dplyr, dtplyr, future.apply, methods, ppcor, Rcpp (≥ 0.12.12), rlang, rugarch, rvinecopulib, tidyr
LinkingTo: BH, kde1d, Rcpp, RcppEigen, RcppThread, rvinecopulib, wdm
Suggests: covr, future, ggplot2, ggtext, knitr, patchwork, rmarkdown, scales, testthat (≥ 3.0.0)
Published: 2022-05-31
Author: Emanuel Sommer [cre, aut]
Maintainer: Emanuel Sommer <emanuel_sommer at gmx.de>
BugReports: https://github.com/EmanuelSommer/portvine/issues
License: MIT + file LICENSE
URL: https://github.com/EmanuelSommer/portvine, https://emanuelsommer.github.io/portvine/
NeedsCompilation: yes
SystemRequirements: C++11
Materials: README NEWS
CRAN checks: portvine results


Reference manual: portvine.pdf
Vignettes: Get started


Package source: portvine_1.0.1.tar.gz
Windows binaries: r-devel: portvine_1.0.1.zip, r-release: portvine_1.0.1.zip, r-oldrel: portvine_1.0.1.zip
macOS binaries: r-release (arm64): portvine_1.0.1.tgz, r-oldrel (arm64): portvine_1.0.1.tgz, r-release (x86_64): portvine_1.0.1.tgz, r-oldrel (x86_64): portvine_1.0.1.tgz


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