RefaelLasry / EstimationOfCovarianceMatrixLinks
Estimation of the Covariance Matrix - linear and nonlinear shrinkage
☆23Updated 3 years ago
Alternatives and similar repositories for EstimationOfCovarianceMatrix
Users that are interested in EstimationOfCovarianceMatrix are comparing it to the libraries listed below
Sorting:
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.