Function reference • portvine

All functions

default_garch_spec(): Default specifications for ARMA-GARCH models

est_es(): Estimate the Expected Shortfall (ES)

est_var(): Estimate the Value at Risk (VaR)

estimate_risk_roll(): (Un-)conditional rolling risk estimation using vine copulas

fitted_marginals(): Accessor method for the fitted marginal models of (cond_)portvine_roll objects

fitted_vines(): Accessor method for the fitted vine copula models of (cond_)portvine_roll objects

marginal_settings() show(<marginal_settings>): S4 class for the marginal settings

show(<portvine_roll>) show(<cond_portvine_roll>) summary(<portvine_roll>) summary(<cond_portvine_roll>): S4 output class for the function estimate_risk_roll()

risk_estimates(): Accessor methods for the risk estimates of (cond_)portvine_roll objects

roll_residuals(): Extract fitted standardized residuals from a uGARCHroll object

sample_returns_small: A sample of log returns for 3 assets.

vine_settings() show(<vine_settings>): S4 class for the vine settings