portvine

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.

Last 30 days

This package has been downloaded 228 times in the last 30 days. More than a random curiosity, but not quite a blockbuster. Still, it's gaining traction! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 6 times.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 2,859 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Jul 24, 2024 with 27 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.