DESCRIPTION

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'