New HEAVY models for fat-tailed returns and realized covariance kernels
Year of publication: |
2014
|
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Authors: | Janus, Paweł ; Lucas, André ; Opschoor, Anne |
Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
Subject: | realized covariance matrices | heavy tails | (degenerate) matrix-F distribution | generalized autoregressive score (GAS) dynamics | Korrelation | Correlation | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance |
Extent: | Online-Ressource (29 S.) graph. Darst. |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2014-073 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/98917 [Handle] |
Classification: | C32 - Time-Series Models ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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