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  • Search: isPartOf:"Tinbergen Institute Discussion Paper 2021-010/III"
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Subject
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Probability theory 1 Random variable 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Wahrscheinlichkeitsrechnung 1 Zufallsvariable 1
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Free 1
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Book / Working Paper 1
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English 1
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Blasques, Francisco 1 Lucas, André 1 Opschoor, Anne 1 Rossini, Luca 1
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Tinbergen Institute Discussion Paper 2021-010/III 1
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ECONIS (ZBW) 1
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Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables : the F-Riesz Distribution
Blasques, Francisco; Lucas, André; Opschoor, Anne; … - 2021
We introduce the new F-Riesz distribution to model tail-heterogeneity in fat-tailed covariance matrix observations. In contrast to the typical matrix-valued distributions from the econometric literature, the F-Riesz distribution allows for different tail behavior across all variables in the...
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