Estimation of the Covariance Matrix - linear and nonlinear shrinkage
☆24Jul 17, 2022Updated 3 years ago
Alternatives and similar repositories for EstimationOfCovarianceMatrix
Users that are interested in EstimationOfCovarianceMatrix are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Non-Linear Covariance Shrinkage☆15Jan 1, 2022Updated 4 years ago
- Ledoit-Wolf covariance matrix estimator of stock returns☆49Aug 23, 2019Updated 6 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- Random Forest-based "Correlation" measures☆15May 3, 2022Updated 4 years ago
- Deep Risk Model: A Deep Learning Solution for Mining Latent Risk Factors to Improve Covariance Matrix Estimation☆13Mar 7, 2024Updated 2 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Sep 12, 2023Updated 2 years ago
- A package for Shrinkage Estimation of Covariance Matrices☆33May 26, 2024Updated last year
- PCA, Factor Analysis, CCA, Sparse Covariance Matrix Estimation, Imputation, Multiple Hypothesis Testing☆10Nov 6, 2021Updated 4 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 10 years ago
- ☆10Mar 23, 2018Updated 8 years ago
- Python code for Robust Identification of Investor Beliefs☆15Jan 6, 2021Updated 5 years ago
- Presentation for QuantCon 2016☆11Apr 9, 2016Updated 10 years ago
- A collection of my ramblings into the field of Quantitatve and Mathematical Finance