Variance matrix differences
Torturing portfolios to give different volatilities between a factor model [...]
The guts of a statistical factor model
Specifics of statistical factor models and of a particular implementation [...]
How to add a benchmark to a variance matrix
There is a good way and a bad way to [...]
Three things factor models do
Factor models are heavily used in finance to create variance [...]
The quality of variance matrix estimation
A bit of testing of the estimation of the variance [...]
The BurStFin R package
Version 1.01 of BurStFin is now on CRAN. It is [...]