Evaluating the Specification of Covariance Models for Large Portfolios

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Modelling and Forecasting Multivariate Realized Volatility (2011, methodology): “rather than on in-sample fit of the model: while in-sample evaluation methods are in general limited and cumbersome when applied to highly dimensional models ( Engle and Sheppard (2007) , Bauwens, Laurent, and Rombouts (2006)) and less relevant for”
How Useful is the Marginal Expected Shortfall for the Measurement of Systemic Exposure? A Practical Assessment (2013, unknown): “…of the matrix Qt , we have a new set of constraints: a > 0, b > 0, g > 0 (21) a+ b+ δg 1 (22) where δ is the maximum eigenvalue of S− 1 2NS− 1 2 (see Engle & Sheppard (2008)) and S and N can be estimated with Ŝ = 1 T T∑ t=1 ηtη ′ t (23) N̂ = 1 T T∑ t=1 utu ′ t (24) The asymmetric DCC model…”