bahc
Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz
A method to filter correlation and covariance matrices by averaging bootstrapped filtered hierarchical clustering and boosting. See Ch. Bongiorno and D. Challet, Covariance matrix filtering with bootstrapped hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning (2020) <arXiv:2005.08703>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.3.0 |
2026-04-09 windows/windows R-4.5 | bahc_0.3.0.zip |
21.1 KiB |