Factor models are well established as promising alternatives to obtain covariance matrices of portfolios containing a very large number of assets. In this paper, we consider a novel multivariate factor GARCH speci cation with a flexible modeling strategy for the common factors, for the...

We devise a novel approach to combine predictions of high dimensional conditional covariance matrices using economic criteria based on portfolio selection. The combination scheme takes into account not only the portfolio objective function but also the portfolio characteristics in order to...