Showing 1 - 10 of 8,532
Persistent link: https://www.econbiz.de/10015074483
Persistent link: https://www.econbiz.de/10012139775
Persistent link: https://www.econbiz.de/10012432948
Persistent link: https://www.econbiz.de/10013534498
Persistent link: https://www.econbiz.de/10014526333
Persistent link: https://www.econbiz.de/10014226292
Persistent link: https://www.econbiz.de/10012295649
Persistent link: https://www.econbiz.de/10011339256
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/10010503037