Covariance Matrix Estimation and Regularization for Finance
Select Tuning Parameter for Banding Covariance Matrix by CV
Banding Opreator on Covariance Matrix
The Squared Frobenius Norm
FinCovRegularization: Covariance Matrix Estimation and Regularization ...
Covariance Matrix Estimation by Fundamental Factor Model
Global Minimum Variance Portfolio
Hard-Thresholding Opreator on Covariance Matrix
Independence opreator on Covariance Matrix
Covariance Matrix Estimation by Macroeconomic Factor Model
The Squared Operator Norm
plot CovCv object
print CovCv object
Risk Parity Portfolio
Soft-Thresholding Opreator on Covariance Matrix
Covariance Matrix Estimation by Statistical Factor Model
Display a useful description of a CovCv object
Select Tuning Parameter for Tapering Covariance Matrix by CV
Tapering Opreator on Covariance Matrix
Select Tuning Parameter for Thresholding Covariance Matrix by CV
Minimum threshold constant
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.
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