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FinCovRegularization

swMATH ID: 14857
Software Authors: YaChen Yan; FangZhu Lin
Description: FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance. 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.
Homepage: https://cran.r-project.org/web/packages/FinCovRegularization/index.html
Source Code: https://github.com/cran/FinCovRegularization
Dependencies: R
Keywords: R package; CRAN
Related Software: R; hdi; bootstrap; huge
Cited in: 2 Publications

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