Fractional integration and fat tails for realized covariance kernels
Year of publication: |
2019
|
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Authors: | Opschoor, Anne ; Lucas, André |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 1, p. 66-90
|
Subject: | fractional integration | heavy tails | matrix-F distribution | multivariate volatility | realized covariance matrices | score dynamics | Volatilität | Volatility | Korrelation | Correlation | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
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