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.
Package details |
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Maintainer | |
License | GPL-2 |
Version | 1.1.0 |
URL | http://github.com/yanyachen/FinCovRegularization |
Package repository | View on GitHub |
Installation |
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