portvine 1.0.3.9000
Current Development Version
portvine 1.0.3
- Clarify what is meant as equally weighted portfolio in the
documenation of the function
estimate_risk_roll
- Dependency management: Due to the changes in the
BH packages I dropped the system requirement
C++11 as suggested by the CRAN maintainers.
portvine 1.0.2
- Bugfix: Set the
shape parameter for the inverse PIT
transformation of the copula scale residuals and do not use the
default.
- Bugfix: Allow for 0 orders in the utility function
default_garch_spec()
- Bugfix: The residual calculation should allow for orders for the
mean and variance models that are different than the standard (1,1)
order
portvine 1.0.1
- D-vine ordering algorithm: Now using the transform
to the normal scale as suggested in Section 1.4 of the book
Dependence Modeling with Copulas (2014) by Harry Joe.
portvine 1.0.0
First stable package version.