Difference in σ-deviation between the cross-covariance matrices of the power spectrum in Fourier space obtained from 5000 COVMOS and 50 DEMNUni_cov realisations at z = 2. This difference is normalised by the predicted Gaussian error Eq. (28), see Eq. (29). in Eq. (28); also see Eq. (29). Upper panels give the monopoles in real space for the two cosmologies, while the bottom panels stand for the cross-covariance terms in the redshift space, for the 16nu cosmology only.