• Graduate program
  • Research
  • News
  • Events
    • Summer School
      • Climate Change
      • Gender in Society
      • Inequalities in Health and Healthcare
      • Business Data Science Summer School Program
      • Receive updates
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
    • Climate Change
    • Gender in Society
    • Inequalities in Health and Healthcare
    • Business Data Science Summer School Program
    • Receive updates
  • Alumni
  • Magazine

14-073/IV - New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels


  • Authors
    Pawel Janus, UBS Global Asset Management, the Netherlands; André Lucas, VU University Amsterdam; Anne Opschoor, VU University Amsterdam, the Netherlands; Dick J.C. van Dijk, Erasmus University Rotterdam, the Netherlands
  • Publication date
    June 19, 2014
  • Keywords
    realized covariance matrices, heavy tails, (degenerate) matrix-F distribution, generalized autoregressive score (GAS) dynamics
  • JEL
    C32, C58