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19-051/IV - Time-varying variance and skewness in realized volatility measures

  • Authors
    Anne Opschoor, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam
  • Publication date
    July 31, 2019
  • Keywords
    realized kernel, heavy tails, F distribution, time-varying shape-parameter, Vol-of-Vol, score-driven dynamics
  • JEL
    C32, C58
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