RM20060.1.1 package

RiskMetrics 2006 Methodology

RM2006-package

tools:::Rd_package_title("RM2006")

RM2006

RiskMetrics 2006 Methodology

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

  • Maintainer: Carlos Trucios
  • License: GPL (>= 2)
  • Last published: 2020-11-08