New HEAVY models for fat-tailed realized covariances and returns
Anne Opschoor, Pawel Janus, André Lucas, Dick Van Dijk
| Year of publication: |
2018
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| Authors: | Opschoor, Anne ; Janus, Paweł ; Lucas, André ; Dijk, Dick van |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 36.2018, 4, p. 643-657
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| Subject: | Generalized autoregressive score (GAS) dynamics | Heavy tails | Matrix-F distribution | Multivariate volatility | Volatilität | Volatility | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Theorie | Theory | Korrelation | Correlation | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2016.1245622 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012249228