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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 |
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