m.excess.c10sp9003


A dataset containing monthly excess returns of 10 stocks and 
S$P 500 index return from January 1990 to December 2003


datasets

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

m.excess.c10sp9003: 10 stock and S&P 500 excess returns

Description

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