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