Covariance Matrix Estimation and Regularization for Finance

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 |

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