FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

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.

AuthorYaChen Yan [aut, cre], FangZhu Lin [aut]
Date of publication2016-04-25 15:32:07
MaintainerYaChen Yan <yanyachen21@gmail.com>
LicenseGPL-2
Version1.1.0
http://github.com/yanyachen/FinCovRegularization

View on CRAN

Functions

banding Man page
banding.cv Man page
FinCovRegularization Man page
FinCovRegularization-package Man page
F.norm2 Man page
FundamentalFactor.Cov Man page
GMVP Man page
hard.thresholding Man page
Ind.Cov Man page
MacroFactor.Cov Man page
m.excess.c10sp9003 Man page
O.norm2 Man page
plot.CovCv Man page
print.CovCv Man page
RiskParity Man page
soft.thresholding Man page
StatFactor.Cov Man page
summary.CovCv Man page
tapering Man page
tapering.cv Man page
threshold.cv Man page
threshold.min Man page

Files

FinCovRegularization
FinCovRegularization/NAMESPACE
FinCovRegularization/data
FinCovRegularization/data/m.excess.c10sp9003.rda
FinCovRegularization/R
FinCovRegularization/R/threshold.min.R FinCovRegularization/R/soft.thresholding.R FinCovRegularization/R/FinCovRegularization.R FinCovRegularization/R/tapering.R FinCovRegularization/R/RiskParity.R FinCovRegularization/R/threshold.cv.R FinCovRegularization/R/banding.R FinCovRegularization/R/GMVP.R FinCovRegularization/R/hard.thresholding.R FinCovRegularization/R/Generic.CovCv.R FinCovRegularization/R/tapering.cv.R FinCovRegularization/R/StatFactor.Cov.R FinCovRegularization/R/F.norm2.R FinCovRegularization/R/MacroFactor.Cov.R FinCovRegularization/R/O.norm2.R FinCovRegularization/R/banding.cv.R FinCovRegularization/R/FundamentalFactor.Cov.R FinCovRegularization/R/Ind.Cov.R
FinCovRegularization/MD5
FinCovRegularization/DESCRIPTION
FinCovRegularization/man
FinCovRegularization/man/Ind.Cov.Rd FinCovRegularization/man/hard.thresholding.Rd FinCovRegularization/man/banding.Rd FinCovRegularization/man/FundamentalFactor.Cov.Rd FinCovRegularization/man/StatFactor.Cov.Rd FinCovRegularization/man/GMVP.Rd FinCovRegularization/man/threshold.cv.Rd FinCovRegularization/man/MacroFactor.Cov.Rd FinCovRegularization/man/summary.CovCv.Rd FinCovRegularization/man/O.norm2.Rd FinCovRegularization/man/m.excess.c10sp9003.Rd FinCovRegularization/man/tapering.cv.Rd FinCovRegularization/man/plot.CovCv.Rd FinCovRegularization/man/FinCovRegularization.Rd FinCovRegularization/man/threshold.min.Rd FinCovRegularization/man/soft.thresholding.Rd FinCovRegularization/man/tapering.Rd FinCovRegularization/man/banding.cv.Rd FinCovRegularization/man/F.norm2.Rd FinCovRegularization/man/print.CovCv.Rd FinCovRegularization/man/RiskParity.Rd

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