Fractional integration and fat tails for realized covariance kernels
Anne Opschoor, André Lucas
| Year of publication: |
2019
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|---|---|
| Authors: | Opschoor, Anne ; Lucas, André |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 1, p. 66-90
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054426