summary.CovCv

object

other arguments ignored (for compatibility with generic)


Display a useful description of a CovCv object


internal

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.

summary.CovCv: Display a useful description of a CovCv object

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