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 |
| 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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