Covariance Matrix Estimation and Regularization for Finance
person("Yachen", "Yan", email = "yanyachen21@gmail.com", role = c("aut", "cre"))
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.

c(
person("YaChen", "Yan", email = "yanyachen21@gmail.com", role = c("aut", "cre")),
person("FangZhu", "Lin", email = "fangzhulin522@gmail.com", role = "aut")
)
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.
YaChen Yan [aut, cre],
FangZhu Lin [aut]

Companion to Tsay (2005) Analysis of Financial
Time Series
R companion to Tsay (2005)
Analysis of Financial Time Series, 2nd ed. (Wiley).
Includes data sets, functions and script files
required to work some of the examples.  Version 0.1-x
includes R objects for all data files used in the text
and a script file to recreate most of the analyses in
ch. 1 plus part of ch. 2.
zoo, fUtilities, chron, polynom, fUnitRoots
fCalendar, moments, distrEx, tseries, urca, uroot, lmtest, sandwich

R companion to Tsay (2005)
Analysis of Financial Time Series, 2nd ed. (Wiley).
Includes data sets, functions and script files
required to work some of the examples.  Version 0.2-x
includes R objects for all data files used in the text
and script files to recreate most of the analyses in
chapters 1 and 2 plus parts of chapters 3 and 11.