Package: portvine
Title: Vine Based (Un)Conditional Portfolio Risk Measure Estimation
Version: 1.0.2
Authors@R: 
    person("Emanuel", "Sommer", , "emanuel_sommer@gmx.de", role = c("cre", "aut"))
Description: 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.
License: MIT + file LICENSE
URL: https://github.com/EmanuelSommer/portvine,
        https://emanuelsommer.github.io/portvine/
BugReports: https://github.com/EmanuelSommer/portvine/issues
Depends: R (>= 2.10)
Imports: checkmate, data.table, dplyr, dtplyr, future.apply, methods,
        ppcor, Rcpp (>= 0.12.12), rlang, rugarch, rvinecopulib, tidyr
Suggests: covr, future, ggplot2, ggtext, knitr, patchwork, rmarkdown,
        scales, testthat (>= 3.0.0)
LinkingTo: BH, kde1d, Rcpp, RcppEigen, RcppThread, rvinecopulib, wdm
VignetteBuilder: knitr
Config/testthat/edition: 3
Encoding: UTF-8
LazyData: true
NeedsCompilation: yes
RoxygenNote: 7.2.3
SystemRequirements: C++11
Collate: 'RcppExports.R' 'default_garch_spec.R' 'S4_classes.R'
        'datadoc_and_rcpp.R' 'dvine_ordering.R' 'risk_measures.R'
        'rcondvinecop.R' 'estimate_dependence_and_risk.R'
        'estimate_marginal_models.R' 'estimate_risk_roll.R' 'utils.R'
Packaged: 2022-12-25 21:56:00 UTC; Emanuel
Author: Emanuel Sommer [cre, aut]
Maintainer: Emanuel Sommer <emanuel_sommer@gmx.de>
Repository: CRAN
Date/Publication: 2023-01-06 09:40:04 UTC
Built: R 4.1.2; x86_64-apple-darwin17.0; 2023-01-07 13:21:19 UTC; unix
Archs: portvine.so.dSYM
