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  "Title": "Covariance Matrix Estimation and Regularization for Finance",
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  "Description": "Estimation and regularization for covariance matrix of\nasset returns. For covariance matrix estimation, three major\ntypes of factor models are included: macroeconomic factor\nmodel, fundamental factor model and statistical factor model.\nFor covariance matrix regularization, four regularized\nestimators are included: banding, tapering, hard-thresholding\nand soft- thresholding. The tuning parameters of these\nregularized estimators are selected via cross-validation.",
  "URL": "http://github.com/yanyachen/FinCovRegularization",
  "BugReports": "http://github.com/yanyachen/FinCovRegularization/issues",
  "License": "GPL-2",
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  "RoxygenNote": "5.0.1",
  "Repository": "https://yanyachen.r-universe.dev",
  "Date/Publication": "2016-10-02 01:29:08 UTC",
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  "Packaged": {
    "Date": "2026-05-22 06:13:51 UTC",
    "User": "root"
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  "Author": "YaChen Yan [aut, cre],\nFangZhu Lin [aut]",
  "Maintainer": "YaChen Yan <yanyachen21@gmail.com>",
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      "object": "m.excess.c10sp9003",
      "class": [
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        "MRK",
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        "F",
        "GM",
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        "XOM",
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    {
      "page": "banding",
      "title": "Banding Opreator on Covariance Matrix",
      "topics": [
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      ]
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      "title": "Select Tuning Parameter for Banding Covariance Matrix by CV",
      "topics": [
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      ]
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      "title": "The Squared Frobenius Norm",
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      ]
    },
    {
      "page": "FinCovRegularization",
      "title": "FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance",
      "topics": [
        "FinCovRegularization-package",
        "FinCovRegularization"
      ]
    },
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      "title": "Covariance Matrix Estimation by Fundamental Factor Model",
      "topics": [
        "FundamentalFactor.Cov"
      ]
    },
    {
      "page": "GMVP",
      "title": "Global Minimum Variance Portfolio",
      "topics": [
        "GMVP"
      ]
    },
    {
      "page": "hard.thresholding",
      "title": "Hard-Thresholding Opreator on Covariance Matrix",
      "topics": [
        "hard.thresholding"
      ]
    },
    {
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      "title": "Independence opreator on Covariance Matrix",
      "topics": [
        "Ind.Cov"
      ]
    },
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      "title": "10 stock and S&P 500 excess returns",
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      ]
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      "title": "The Squared Operator Norm",
      "topics": [
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      ]
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      "title": "Risk Parity Portfolio",
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      ]
    },
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      "title": "Tapering Opreator on Covariance Matrix",
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      ]
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      "title": "Select Tuning Parameter for Tapering Covariance Matrix by CV",
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      "title": "Select Tuning Parameter for Thresholding Covariance Matrix by CV",
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