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.
The original factor loading matrix A
The estimated factor loading matrix A
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.
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