Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on the forecast of the conditional variances, covariances and correlations of financial returns. Although the decisions are based on forecasts covariance matrix little is known...

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict one-step-ahead...

In this supplementary material we discuss the results corresponding to the case without short-selling constraints of the empirical application in the paper of Trucíos et al. (2019). These results are given in Tables 9-16

Based on a General Dynamic Factor Model with infinite-dimensional factor space and MGARCH common shocks, we develop new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The finite-sample performance of our approach is evaluated via Monte...