Package: portvine
Title: Vine Based (Un)Conditional Portfolio Risk Measure Estimation
Version: 1.0.3.9000
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
Roxygen: list(markdown = TRUE)
RoxygenNote: 7.2.3
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'
Config/pak/sysreqs: cmake libicu-dev
Repository: https://emanuelsommer.r-universe.dev
Date/Publication: 2024-01-22 08:53:34 UTC
RemoteUrl: https://github.com/emanuelsommer/portvine
RemoteRef: HEAD
RemoteSha: f1e58e717c0f898d46f9e8ef786a9730cbc93644
Packaged: 2026-07-02 09:55:51 UTC; root
Author: Emanuel Sommer [cre, aut]
Maintainer: Emanuel Sommer <emanuel_sommer@gmx.de>