FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

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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, hard-thresholding and soft- thresholding. The tuning parameters of these regularized estimators are selected via cross-validation.

Author
YaChen Yan [aut, cre], FangZhu Lin [aut]
Date of publication
2016-04-25 15:32:07
Maintainer
YaChen Yan <yanyachen21@gmail.com>
License
GPL-2
Version
1.1.0
URLs

View on CRAN

Man pages

banding
Banding Opreator on Covariance Matrix
banding.cv
Select Tuning Parameter for Banding Covariance Matrix by CV
FinCovRegularization
FinCovRegularization: Covariance Matrix Estimation and...
F.norm2
The Squared Frobenius Norm
FundamentalFactor.Cov
Covariance Matrix Estimation by Fundamental Factor Model
GMVP
Global Minimum Variance Portfolio
hard.thresholding
Hard-Thresholding Opreator on Covariance Matrix
Ind.Cov
Independence opreator on Covariance Matrix
MacroFactor.Cov
Covariance Matrix Estimation by Macroeconomic Factor Model
m.excess.c10sp9003
10 stock and S&P 500 excess returns
O.norm2
The Squared Operator Norm
plot.CovCv
plot CovCv object
print.CovCv
print CovCv object
RiskParity
Risk Parity Portfolio
soft.thresholding
Soft-Thresholding Opreator on Covariance Matrix
StatFactor.Cov
Covariance Matrix Estimation by Statistical Factor Model
summary.CovCv
Display a useful description of a CovCv object
tapering
Tapering Opreator on Covariance Matrix
tapering.cv
Select Tuning Parameter for Tapering Covariance Matrix by CV
threshold.cv
Select Tuning Parameter for Thresholding Covariance Matrix by...
threshold.min
Minimum threshold constant

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