16-069/IV - Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns

• Authors
  Andre Lucas, VU University Amsterdam, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands
• Publication date
  September 2, 2016

• Keywords
  multivariate volatility, fractional integration, realized covariance matrices, heavy tails, matrix-F distribution, score dynamics
• JEL
  C32, C58