FinCovRegularization (version 1.0.0)
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.