RiskMetrics 2006 Methodology

Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007) .


Reference manual

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0.1.1 by Carlos Trucios, a year ago

Browse source code at https://github.com/cran/RM2006

Authors: Carlos Trucios

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

See at CRAN