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portvine  

Vine Based (Un)Conditional Portfolio Risk Measure Estimation
View on CRAN: Click here


Download and install portvine package within the R console
Install from CRAN:
install.packages("portvine")

Install from Github:
library("remotes")
install_github("cran/portvine")

Install by package version:
library("remotes")
install_version("portvine", "1.0.3")



Attach the package and use:
library("portvine")
Maintained by
Emanuel Sommer
[Scholar Profile | Author Map]
First Published: 2022-05-31
Latest Update: 2024-01-18
Description:
Following Sommer (2022) 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.
How to cite:
Emanuel Sommer (2022). portvine: Vine Based (Un)Conditional Portfolio Risk Measure Estimation. R package version 1.0.3, https://cran.r-project.org/web/packages/portvine. Accessed 29 Mar. 2025.
Previous versions and publish date:
1.0.1 (2022-05-31 13:00), 1.0.2 (2023-01-06 10:40)
Other packages that cited portvine R package
View portvine citation profile
Other R packages that portvine depends, imports, suggests or enhances
Complete documentation for portvine
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