[R] conditional covariance matrix estimator

[billycorg]

Hi R Users,

following the work of Fleming, Kirby and Ostdiek (2001, you can find the
article  here
<http://118.96.136.228/ejurnal/Working%20Paper%20JFE/JFE%2003%20The%20economic%20value%20of%20volatility%20timing.pdf> 
), I would like to estimate the conditional covariance matrax using an
exponentially weighted methods like:

<http://r.789695.n4.nabble.com/file/n4647751/roll_est.jpg> 

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:

<http://r.789695.n4.nabble.com/file/n4647751/model.jpg> 

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

Thanks in advance for the help!!




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