NEWS

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portvine 1.0.3.9000

Current Development Version

portvine 1.0.3 (2024-01-18)

• Clarify what is meant as equally weighted portfolio in the documenation of the function estimate_risk_roll
• Dependency management: Due to the changes in the BH packages I dropped the system requirement C++11 as suggested by the CRAN maintainers.

portvine 1.0.2 (2023-01-06)

• Bugfix: Set the shape parameter for the inverse PIT transformation of the copula scale residuals and do not use the default.
• Bugfix: Allow for 0 orders in the utility function default_garch_spec()
• Bugfix: The residual calculation should allow for orders for the mean and variance models that are different than the standard (1,1) order

portvine 1.0.1 (2022-05-31)

• D-vine ordering algorithm: Now using the transform to the normal scale as suggested in Section 1.4 of the book Dependence Modeling with Copulas (2014) by Harry Joe.

portvine 1.0.0

First stable package version.