DM1 function

Distance measure defined in Eq. (3.1) of Li et al. (2016)

Compute the distance measure defined in Eq. (3.1) of Li et al. (2016) to compare the factor loading matrix in its Monte Carlos experiments.

dM1(A, Ahat)

Arguments

• A: The original factor loading matrix A
• Ahat: The estimated factor loading matrix A

References

Li, W., Gao, J., Li, K., & Yao, Q. (2016). Modeling Multivariate Volatilities via Latent Common Factors. Journal of Business & Economic Statistics, 34(4), 564-573.

Author(s)

Carlos Trucios