Compute the Stein loss function between the matrices S and H. See, Laurent et al. (2012).
Proxy for the conditional covariance/correlation matrix
Estimate of the conditional covariance/correlation matrix.
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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