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

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Files in this package

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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