The Riskmetrics 2006 Methodology

By Gilles O. Zumbach. 2007

78 citations recorded by the source corpus.

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Large Dynamic Covariance Matrices (2019, methodology): “RM-2006: The RiskMetrics 2006 methodology detailed by Zumbach (2007) and implemented in Kevin Sheppard’s Matlab routine riskmetrics2006.”
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? (2013, methodology): “For implementation details, we refer to Appendix C.”
Modelling and Forecasting Multivariate Realized Volatility (2011, background): “…the sample mean of Xt which leaves only three parameters for estimation in the second step.3 To 2 Interestingly, in the new RiskMetrics methodology, Zumbach (2007) finds strong empirical support for long memory type of autocorrelation decay of financial volatility, and concludes that ‘one decay…”
The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation (2020, unknown): “…portfolio selection; in practice, we proposed the use of the DCC-NL estimator 13 We also included the (second-generation) RiskMetrics 2006 model in the study, which also esti- mates time-varying covariance matrices and is computationally feasible for dimensions up to N¼ 1000; see Zumbach (2007).”