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21-010/III - Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution

  • Authors
    Andre Lucas, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam; Luca Rossini, University of Milan
  • Publication date
    January 24, 2021
  • Keywords
    matrix distributions, tail heterogeneity, (inverse) Riesz, fat-tails, realized covariance matrices
  • JEL
    C32, C58, G17
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