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Need help to reproduce R-code from a portfolio analysis paper

The details of requirement: The final task would be: need to reproduce the R-code of the paper: A Test of Covariance-Matrix Forecasting Methods. Which means that use 5 method that mention on the paper: [url removed, login to view] Historical Covariance. [url removed, login to view] Historical Covariance With Shrinkage. [url removed, login to view] Weighted Moving Average. 4. Dynamic Conditional Correlation GARCH 5. Generalized Orthogonal GARCH. to forecast the covariance-matrix and then evaluate the performance of these covariance-matrix by their ability in out-of-sample tests to minimize the variance of portfolio. (We do not need code the last difficult part: The Global Minimum-Variance Portfolio with a Volatility Target) Require experience in time series analysis model and financial data!!

Skills: Data Processing, Mathematics, R Programming Language, Statistical Analysis

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About the Employer:
( 0 reviews ) Germany

Project ID: #16730019

12 freelancers are bidding on average €575 for this job

VolKa

Hi. I have an experience in such a models and think will be able to do this. Regards................

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dinhfreedom

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cyash61

Hello, I am a data analyst with 6 years of experiene working with clients across the globe on statistical analysis of financial and transactional data. With over 40 projects completed in financial analysis in th More

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healthmonkey

Hey, my name is Philipp and I am a statistical programmer and data scientist with background in quantitative finance. I would be interested helping you replicating the variance co-variance methods mentioned in the More

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nodinh325

Hi, I am expert in Statistics. I am very familiar with R. I can help you with high quality. I saw the attached file carefully. Thanks.

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chumkibhowmick

I have written a paper on time series modelling in R, Currently doing a paper in portfolio optimisation in R. I am a full-time freelancer looking for a long term business alliance. I have a 5 star rated profile in Upwo More

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BOUSSATA

Hi there, I saw your project details and it looks interesting. I'm experienced with using R software. As I said your project looks interesting but it gonna take some time to realize it. How much time do you need to rea More

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sunprah2018

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merBettin

I have experience and knowledge in empirical and modelling data analysis using R and Python, with application in scientific research and modelling. I have also written scientific manuscripts. Please find some examples More

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anskkamalsingh

A proposal has not yet been provided

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