Janus, Paweł; Lucas, André; Opschoor, Anne - 2014
realized covariance matrix kernels based on intraday data. Both types of data may be fat-tailed. We account for this by … assuming a matrix-F distribution for the realized kernels, and a multivariate Studentś t distribution for the returns. Using … controlled simulation setting as well as for empirical data. In our empirical application, we study daily returns and realized …