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