Showing 1 - 10 of 2,675
Persistent link: https://www.econbiz.de/10010337468
Persistent link: https://www.econbiz.de/10011779403
Persistent link: https://www.econbiz.de/10013549659
Persistent link: https://www.econbiz.de/10011300485
Persistent link: https://www.econbiz.de/10009720703
We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...
Persistent link: https://www.econbiz.de/10011531139
Persistent link: https://www.econbiz.de/10011403228
Persistent link: https://www.econbiz.de/10012792873
Persistent link: https://www.econbiz.de/10012054426
Persistent link: https://www.econbiz.de/10014552077