FinCovRegularization

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.

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References in zbMATH (referenced in 1 article )

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  1. Pourahmadi, Mohsen: High-dimensional covariance estimation (2013)