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16-069/IV - Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns


  • Authors
    Andre Lucas, VU University Amsterdam, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands
  • Publication date
    September 2, 2016
  • Keywords
    multivariate volatility, fractional integration, realized covariance matrices, heavy tails, matrix-F distribution, score dynamics
  • JEL
    C32, C58