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Tagged with covariance-estimation programming
4
questions
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Reliability of R Package on Covariance Matrix Shrinkage
I recently used a R package CovTools in R with the command CovEst.2003LW(X), where X is your sample covariance matrix as an input, to compute the shrunk covariance matrix (an estimate that is closest ...
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Implementing Hierarchical PCA for financial time series in R
I would like to implement the method "Hierarchical PCA", as described in the following paper and compare it to a "standard" PCA. I like to do this in R
AVELLANEDA, Marco. ...
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Implementation of Ledoit Wolf shrinkage estimator within R package tawny
I want to implement the shrinkage intensity given by Ledoit and Wolf, see here page 13. They define $y_{it}$ with $1\le i\le N$ and $1\le t\le t$ be the return on stock $i$ at time $t$. Moreover, $z_i:...
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Multivariate GARCH in Python
Is there a package to run simplified multivariate GARCH models in Python? I found the Arch package but that seems to work on only univariate models. I'd like to test out some of the more simple ...
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