RM2006-package: RiskMetrics 2006 Methodology
In RM2006: RiskMetrics 2006 Methodology
Description
Author(s)
References
Description
Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007) <doi:10.2139/ssrn.1420185>.
Author(s)
Carlos Trucios
Maintainer: Carlos Trucios <ctrucios@gmail.com>
References
Zumbach, G. (2007) The Riskmetrics 2006 methodology. Available at SSRN: https://ssrn.com/abstract=1420185 or http://dx.doi.org/10.2139/ssrn.1420185
RM2006 documentation built on Nov. 8, 2020, 4:31 p.m.
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Description Author(s) References
Description
Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007) <doi:10.2139/ssrn.1420185>.
Author(s)
Carlos Trucios
Maintainer: Carlos Trucios <ctrucios@gmail.com>
References
Zumbach, G. (2007) The Riskmetrics 2006 methodology. Available at SSRN: https://ssrn.com/abstract=1420185 or http://dx.doi.org/10.2139/ssrn.1420185
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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