@article{Engle2017, author = "Robert F. Engle and Olivier Ledoit and Michael Wolf", title = "{Large Dynamic Covariance Matrices}", year = "2017", month = "12", url = "https://tandf.figshare.com/articles/dataset/Large_Dynamic_Covariance_Matrices/5731092", doi = "10.6084/m9.figshare.5731092" }