FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance
Version 1.1.0

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.

Browse man pages Browse package API and functions Browse package files

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
URL http://github.com/yanyachen/FinCovRegularization
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("FinCovRegularization")

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

Functions

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

Files

NAMESPACE
data
data/m.excess.c10sp9003.rda
R
R/threshold.min.R
R/soft.thresholding.R
R/FinCovRegularization.R
R/tapering.R
R/RiskParity.R
R/threshold.cv.R
R/banding.R
R/GMVP.R
R/hard.thresholding.R
R/Generic.CovCv.R
R/tapering.cv.R
R/StatFactor.Cov.R
R/F.norm2.R
R/MacroFactor.Cov.R
R/O.norm2.R
R/banding.cv.R
R/FundamentalFactor.Cov.R
R/Ind.Cov.R
MD5
DESCRIPTION
man
man/Ind.Cov.Rd
man/hard.thresholding.Rd
man/banding.Rd
man/FundamentalFactor.Cov.Rd
man/StatFactor.Cov.Rd
man/GMVP.Rd
man/threshold.cv.Rd
man/MacroFactor.Cov.Rd
man/summary.CovCv.Rd
man/O.norm2.Rd
man/m.excess.c10sp9003.Rd
man/tapering.cv.Rd
man/plot.CovCv.Rd
man/FinCovRegularization.Rd
man/threshold.min.Rd
man/soft.thresholding.Rd
man/tapering.Rd
man/banding.cv.Rd
man/F.norm2.Rd
man/print.CovCv.Rd
man/RiskParity.Rd
FinCovRegularization documentation built on May 19, 2017, 8:59 a.m.