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!! -- View this message in context: http://r.789695.n4.nabble.com/conditional-covariance-matrix-estimator-tp4647751.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
