Publications

Vine Copula based Portfolio Level Conditional Risk Measure Forecasting

• Authors: Emanuel Sommer, Karoline Bax, Claudia Czado
• Econometrics and Statistics | Published 2023 | DOI
• Dependence Modeling | Vine Copulas | Portfolio Risk Estimation | Stress Testing | Time Series

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Software

{portvine}

Package for the portfolio level unconditional as well as conditional risk measure estimation for backtesting and stress testing using Vine Copula and ARMA-GARCH models.

CRAN | GitHub | Documentation