Tail heterogeneity for dynamic covariance-matrix-valued random variables : the F-Riesz distribution
Year of publication: |
[2021]
|
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Authors: | Blasques, Francisco ; Lucas, André ; Opschoor, Anne ; Rossini, Luca |
Publisher: |
Amsterdam, The Netherlands : Tinbergen Institute |
Subject: | Matrix Distributions | Tail Heterogeneity | Fat-Tails | Realized Covariance Matrices | Statistische Verteilung | Statistical distribution | Theorie | Theory | Korrelation | Correlation | Lineare Algebra | Linear algebra | Wahrscheinlichkeitsrechnung | Probability theory | Zufallsvariable | Random variable |
Extent: | 1 Online-Ressource (circa 38 Seiten) Illustrationen |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. TI 2021, 010 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/229716 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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