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