A package for estimating and regularising correlation and covariance matrices with high frequency financial data
Author s-baumann
6 Stars
Updated Last
2 Years Ago
Started In
December 2020


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This package offers a number of algorithms for the calculations of volatilities, correlation matrices and covariance matrices. Covariances can be calculated using the naïve method, a multivariate kernel method, a spectral covariance method, preaveraging of returns and finally by exploiting differences in the volatility of different composition series (generated by adding two observed series).

A number of regularisation algorithms are also implemented including eigenvalue cleaning, mixing with the identity matrix and finding the nearest valid correlation matrix. For a paper describing the capabilities of this package see here.

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