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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, hardthresholding and soft thresholding. The tuning parameters of these regularized estimators are selected via crossvalidation.
Package details 


Author  YaChen Yan [aut, cre], FangZhu Lin [aut] 
Date of publication  20160425 15:32:07 
Maintainer  YaChen Yan <yanyachen21@gmail.com> 
License  GPL2 
Version  1.1.0 
URL  http://github.com/yanyachen/FinCovRegularization 
Package repository  View on CRAN 
Installation 
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