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RM2006 (version 0.1.1)
RiskMetrics 2006 Methodology
Description
Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007)
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Version
Version
0.1.1
0.1.0
Install
install.packages('RM2006')
Monthly Downloads
230
Version
0.1.1
License
GPL (>= 2)
Maintainer
Carlos Trucios
Last Published
November 8th, 2020
Functions in RM2006 (0.1.1)
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RM2006
RiskMetrics 2006 Methodology
RM2006-package
RM2006