cran-comments.md

In EmanuelSommer/portvine: Vine Based (Un)Conditional Portfolio Risk Measure Estimation

Version 1.0.3 of the portvine package (dependency management)

Due to the changes in the BH packages I dropped the system requirement C++11 as suggested by the CRAN maintainers.

Version 1.0.2 of the portvine package (just Bugfixes)

Besides the bugfixes mentioned below no changes to the package were made.

• 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

R CMD check results

The package was checked on all major operation systems.

0 errors | 0 warnings | 1 note

• checking installed package size ... NOTE installed size is 5.8Mb sub-directories of 1Mb or more: libs 5.0Mb

This note is the same as for the current CRAN version 1.0.1 and is due to usage of the rather large C++ library vinecopulib provided by the CRAN package rvinecopulib in order to facilitate the conditional sampling algorithms.

EmanuelSommer/portvine documentation built on Feb. 3, 2024, 10:39 a.m.