RiskMetrics 2006 Methodology

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


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Reference manual

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install.packages("RM2006")

0.1.0 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