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 + fileLICENSE |
| URL: | https://github.com/EmanuelSommer/portvine,https://emanuelsommer.github.io/portvine/ |
| NeedsCompilation: | yes |
| Materials: | README,NEWS |
| CRAN checks: | portvine results |
| Reference manual: | portvine.html ,portvine.pdf |
| Vignettes: | Get started (source,R code) |
| 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 |
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