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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