FinCovRegularization

Covariance Matrix Estimation and Regularization for Finance

CRAN Package

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.

  • Version1.1.0
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?No
  • Last release04/25/2016

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  • Imports1 package
  • Reverse Imports1 package