New HEAVY Models for Fat-Tailed Realized Covariances and Returns-Reference-Cited by-同舟云学术

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New HEAVY Models for Fat-Tailed Realized Covariances and Returns

Published:2017-05-16 Issue:4 Volume:36 Page:643-657
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Opschoor Anne¹,Janus Pawel²,Lucas André¹,Van Dijk Dick³

Affiliation:

1. Department of Finance, Vrije Universiteit Amsterdam and Tinbergen Institute, 1081 MS Amsterdam, The Netherlands ()

2. UBS Asset Management, Zürich, Switzerland ()

3. Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute, 3062 PA Rotterdam, The Netherlands ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://tandfonline.com/doi/pdf/10.1080/07350015.2016.1245622

Reference40 articles.

1. Comparing Density Forecasts via Weighted Likelihood Ratio Tests

2. Maximum likelihood estimates for positive valued dynamic score models; The DySco package

3. Multivariate Stochastic Volatility: A Review

4. Realized kernels in practice: trades and quotes

5. Forecasting multivariate realized stock market volatility

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