Opschoor, Anne; Lucas, André - 2019 - This version:July23,2019
We propose a new score-driven model to capture the time-varying volatility and tail behavior of realized kernels. We … assume realized kernels follow an F distribution with two time-varying degrees-of-freedom parameters, accounting for the Vol …-of-Vol and the tail shape of the realized kernel distribution. The resulting score-driven dynamics imply that the influence of …