Package: FinCovRegularization 1.1.0
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.
Authors:
FinCovRegularization_1.1.0.tar.gz
FinCovRegularization_1.1.0.zip(r-4.7)FinCovRegularization_1.1.0.zip(r-4.6)FinCovRegularization_1.1.0.zip(r-4.5)
FinCovRegularization_1.1.0.tgz(r-4.6-any)FinCovRegularization_1.1.0.tgz(r-4.5-any)
FinCovRegularization_1.1.0.tar.gz(r-4.7-any)FinCovRegularization_1.1.0.tar.gz(r-4.6-any)
FinCovRegularization_1.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
FinCovRegularization/json (API)
| # Install 'FinCovRegularization' in R: |
| install.packages('FinCovRegularization', repos = c('https://yanyachen.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/yanyachen/fincovregularization/issues
- m.excess.c10sp9003 - 10 stock and S&P 500 excess returns
Last updated from:cd3ff5b5d0. Checks:7 NOTE, 2 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | NOTE | 99 | ||
| source / vignettes | OK | 127 | ||
| linux-release-x86_64 | NOTE | 96 | ||
| macos-release-arm64 | NOTE | 176 | ||
| macos-oldrel-arm64 | NOTE | 149 | ||
| windows-devel | NOTE | 75 | ||
| windows-release | NOTE | 59 | ||
| windows-oldrel | NOTE | 61 | ||
| wasm-release | OK | 93 |
Exports:bandingbanding.cvF.norm2FundamentalFactor.CovGMVPhard.thresholdingInd.CovMacroFactor.CovO.norm2RiskParitysoft.thresholdingStatFactor.Covtaperingtapering.cvthreshold.cvthreshold.min
Dependencies:quadprog
