Sequential Conditional Correlations: Inference and Evaluation

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MGARCH models: Trade-off between feasibility and flexibility (2018, background): “This is a feature inherent to all MGARCH models and all their estimators; see Palandri (2009).”
Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model (2009, unknown): “This is the strategy followed by Aas et al. (2009) in a static non Gaussian case with five series, and by Palandri (2009) in a time varying Gaussian model.”
FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (2013, background): “…heteroskedasticity (GARCH) modeling of large volatility matrices is usually to reduce large volatility matrices into a sequence of smaller matrices and transform the very high-dimensional model into a sequence of univariate or low-dimensional models (Palandri, 2009; Engle and Sheppard, 2001).”