Showing 1 - 10 of 597
We propose a new score-driven model to capture the time-varying volatility and tail behavior of realized kernels. We assume realized kernels follow an F distribution with two time-varying degrees-of-freedom parameters, accounting for the Vol-of-Vol and the tail shape of the realized kernel...
Persistent link: https://www.econbiz.de/10012053572
Persistent link: https://www.econbiz.de/10001503370
Persistent link: https://www.econbiz.de/10000915606
Persistent link: https://www.econbiz.de/10000918266
Persistent link: https://www.econbiz.de/10000925514
Persistent link: https://www.econbiz.de/10000902084
Persistent link: https://www.econbiz.de/10000904952
Persistent link: https://www.econbiz.de/10000909000
Persistent link: https://www.econbiz.de/10000980737
Persistent link: https://www.econbiz.de/10000945706