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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: 1.0.3
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: 2024-01-18
DOI: 10.32614/CRAN.package.portvine
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
Materials: README NEWS
CRAN checks: portvine results

Documentation:

Reference manual: portvine.pdf
Vignettes: Get started

Downloads:

Package source: portvine_1.0.3.tar.gz
Windows binaries: r-devel: portvine_1.0.3.zip, r-release: portvine_1.0.3.zip, r-oldrel: portvine_1.0.3.zip
macOS binaries: r-release (arm64): portvine_1.0.3.tgz, r-oldrel (arm64): portvine_1.0.3.tgz, r-release (x86_64): portvine_1.0.3.tgz, r-oldrel (x86_64): portvine_1.0.3.tgz
Old sources: portvine archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=portvine to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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