Statistical Performance Measures to Evaluate Covariance Matrix Estimates

Statistical performance measures used in the econometric literature to evaluate conditional covariance/correlation matrix estimates (MSE, MAE, Euclidean distance, Frobenius distance, Stein distance, asymmetric loss function, eigenvalue loss function and the loss function defined in Eq. (4.6) of Engle et al. (2016) ). Additionally, compute Eq. (3.1) and (4.2) of Li et al. (2016) to compare the factor loading matrix. The statistical performance measures implemented have been previously used in, for instance, Laurent et al. (2012) , Amendola et al. (2015) and Becker et al. (2015) .