Fractional integration and fat tails for realized covariance kernels

Anne Opschoor, André Lucas

Year of publication:	2019
Authors:	Opschoor, Anne ; Lucas, André
Subject:	fractional integration \| heavy tails \| matrix-F distribution \| multivariate volatility \| realized covariance matrices \| score dynamics \| Volatilität \| Volatility \| Korrelation \| Correlation \| Statistische Verteilung \| Statistical distribution \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| Zeitreihenanalyse \| Time series analysis \| Varianzanalyse \| Analysis of variance \| ARCH-Modell \| ARCH model \| Kapitaleinkommen \| Capital income \| Multivariate Analyse \| Multivariate analysis

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