Nothing
Estimation and regularization for covariance matrix of asset returns. For covariance matrix estimation, three major types of factor models are included: macroeconomic factor model, fundamental factor model and statistical factor model. For covariance matrix regularization, four regularized estimators are included: banding, tapering, hard-thresholding and soft- thresholding. The tuning parameters of these regularized estimators are selected via cross-validation.
Package details |
|
---|---|
Author | YaChen Yan [aut, cre], FangZhu Lin [aut] |
Maintainer | YaChen Yan <yanyachen21@gmail.com> |
License | GPL-2 |
Version | 1.1.0 |
URL | http://github.com/yanyachen/FinCovRegularization |
Package repository | View on CRAN |
Installation |
Install the latest version of this package by entering the following in R:
|
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.