FinCovRegularization (version 1.1.0)
Covariance Matrix Estimation and Regularization for Finance
Description
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.
