[R] conditional covariance matrix estimator

billycorg candilav at gmail.com
Mon Oct 29 12:10:10 CET 2012

Hi R Users,

following the work of Fleming, Kirby and Ostdiek (2001, you can find the
article  here
), I would like to estimate the conditional covariance matrax using an
exponentially weighted methods like:


where e_t is the Kx1 vector of returns at time t and the parameter /alpha
/has to be estimated. The /alpha /can be considered the decay rate the
maximizes the likelihood function:


Is there an R package that can be useful for me??

Thanks in advance for the help!!

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