Description Usage Arguments Author(s) References Examples

Compute the Euclidean distance between the matrices S and H. See, Laurent et al. (2012) and Amendola et al. (2015).

1 | ```
LE(S, H)
``` |

`S` |
Proxy for the conditional covariance/correlation matrix |

`H` |
Estimate of the conditional covariance/correlation matrix. |

Carlos Trucios

Amendola, A., & Storti, G. (2015). Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction. Journal of Forecasting, 34(2), 83-91.

Laurent, S., Rombouts, J. V., & Violante, F. (2012). On the forecasting accuracy of multivariate GARCH models. Journal of Applied Econometrics, 27(6), 934-955.

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