RM2006: RiskMetrics 2006 Methodology

Estimation the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007) <doi:10.2139/ssrn.1420185>.

Package details

AuthorCarlos Trucios
MaintainerCarlos Trucios <ctrucios@gmail.com>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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RM2006 documentation built on May 2, 2019, 2:21 a.m.