ctruciosm/RM2006: RiskMetrics 2006 Methodology
Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007) <doi:10.2139/ssrn.1420185>.
Getting started
Browse package contents
Package details |
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| Author | Carlos Trucios |
| Maintainer | Carlos Trucios <ctrucios@gmail.com> |
| License | GPL (>= 2) |
| Version | 0.1.1 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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