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