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Nov 3

Newey and West Covariance Matrix Estimator

Posted by abiao at 20:24 | Code » Other | Comments(1) | Reads(15537)
Covariance matrix is vital for pricing and risk analysis, before I shares a Matlab code on weighted covariance matrix computation, here is another method named Newey & West covariance matrix, which calculates the covariance matrix with a non-parametrical method. Choices of kernels include Bartlett, Truncated and Quadratic Spectral. An example program also demonstrates how to use of these procedures. For detail please refer to http://kafuwong.econ.hku.hk/research/gausscode/cov1.htm.

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