Packaged: Mon Apr 21 22:38:03 2008; enos

Packaged: Tue Jan 13 11:40:50 2009; enos

Packaged: Fri Feb  6 14:06:00 2009; enos

Description: Classes that serve as a framework for designing equity
Depends: R (>= 2.10), methods, lattice, portfolio (>= 0.4.0)

Author: Alex Dickerson [aut,cre], Jonathan Spohnholtz [aut,cre]
Description: Designed to aid both academic researchers and asset managers in conducting factor based portfolio sorts.
Provides functionality to sort assets into portfolios for up to three factors via a conditional or unconditional sorting procedure.
Packaged: 2018-09-24 08:27:39 UTC; Alexander

Title: Vine Based (Un)Conditional Portfolio Risk Measure Estimation
person("Emanuel", "Sommer", , "emanuel_sommer@gmx.de", role = c("cre", "aut"))
Description: 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
Imports: checkmate, data.table, dplyr, dtplyr, future.apply, methods,
ppcor, Rcpp (>= 0.12.12), rlang, rugarch, rvinecopulib, tidyr
Suggests: covr, future, ggplot2, ggtext, knitr, patchwork, rmarkdown,
LinkingTo: BH, kde1d, Rcpp, RcppEigen, RcppThread, rvinecopulib, wdm

Title: A package to perform segmentation using constrained HMM
Maintainer: The Minh Luong <the-minh.luong@parisdescartes.fr>
Description: The functions are used for change-point problems, after an
initial set of change-points within the data has already been
obtained. The function postCP obtains estimates of posterior
probabilities of change-point and hidden states for each
observation, and confidence intervals for the positions of the
change-point. The function postCPsample obtains random samples
of sets of change-points using the output of the postCP

Title: A package to estimate posterior probabilities in change-point