Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
Year of publication: |
2017
|
---|---|
Authors: | Lucas, André |
Other Persons: | Opschoor, Anne (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Korrelation | Correlation | Kapitaleinkommen | Capital income | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Schätztheorie | Estimation theory |
Extent: | 1 Online-Ressource (38 p) |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 7, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.2833781 [DOI] |
Classification: | C32 - Time-Series Models ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Fractional integration and fat tails for realized covariance kernels and returns
Lucas, André, (2016)
-
Time-varying tail behavior for realized kernels
Opschoor, Anne, (2019)
-
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus, (2014)
- More ...
-
Density forecasting for electricity prices under tail heterogeneity with the t-Riesz distribution
Opschoor, Anne, (2024)
-
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
Janus, Pawel, (2014)
-
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
Opschoor, Anne, (2019)
- More ...