FinCovRegularization {FinCovRegularization}

FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

Description

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.