| RM2006-package {RM2006} | R Documentation |
RiskMetrics 2006 Methodology
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
[Package RM2006 version 0.1.1 Index]