New HEAVY models for fat-tailed realized covariances and returns

P Janus, A (André) Lucas, A (Anne) Opschoor, Dick van Dijk

Research output: Contribution to journalArticleAcademicpeer-review

33 Citations (Scopus)
11 Downloads (Pure)
Original languageEnglish
Pages (from-to)643-657
Number of pages15
JournalJournal of Business and Economic Statistics
Volume36
Issue number4
DOIs
Publication statusPublished - 2018

Research programs

  • EUR ESE 31

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