etfdata


Contains returns for 9 etf symbols XLE, XLY, XLP, XLF, XLV,XLI,
             XLB, XLK,XLU starting from 2008-01-01 to 2010-12-31. Data maybe
             updated using the getSymbolData script in the inst folder


We implement a collection of techniques for estimating covariance matrices.
Covariance matrices can be built using missing data. Stambaugh Estimation and
FMMC methods can be used to construct such matrices. Covariance matrices can
be built by denoising or shrinking the eigenvalues of a sample covariance
matrix. Such techniques work by exploiting the tools in Random Matrix Theory
to analyse the distribution of eigenvalues. Covariance matrices can also
be built assuming that data has many underlying regimes. Each regime is
allowed to follow a Dynamic Conditional Correlation model. Robust covariance
matrices can be constructed by multivariate cleaning and smoothing of noisy data.

etfdata: Symbol Data

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