RM2006: RiskMetrics 2006 Methodology

Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007) <doi:10.2139/ssrn.1420185>.

Version: 0.1.1
Published: 2020-11-08
DOI: 10.32614/CRAN.package.RM2006
Author: Carlos Trucios
Maintainer: Carlos Trucios <ctrucios at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
In views: Finance
CRAN checks: RM2006 results


Reference manual: RM2006.pdf


Package source: RM2006_0.1.1.tar.gz
Windows binaries: r-devel: RM2006_0.1.1.zip, r-release: RM2006_0.1.1.zip, r-oldrel: RM2006_0.1.1.zip
macOS binaries: r-release (arm64): RM2006_0.1.1.tgz, r-oldrel (arm64): RM2006_0.1.1.tgz, r-release (x86_64): RM2006_0.1.1.tgz, r-oldrel (x86_64): RM2006_0.1.1.tgz
Old sources: RM2006 archive


Please use the canonical form https://CRAN.R-project.org/package=RM2006 to link to this page.