New HEAVY models for fat-tailed realized covariances and returns

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

doi:10.1080/07350015.2016.1245622

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 journal › Article › Academic › peer-review

60 Citations (Scopus)

83 Downloads (Pure)

Original language	English
Pages (from-to)	643-657
Number of pages	15
Journal	Journal of Business and Economic Statistics
Volume	36
Issue number	4
DOIs	https://doi.org/10.1080/07350015.2016.1245622
Publication status	Published - 2018

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EUR ESE 31

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10.1080/07350015.2016.1245622

REPUB_99946-OA.pdfFinal published version, 487 KB

http://hdl.handle.net/1765/99946

Cite this

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title = "New HEAVY models for fat-tailed realized covariances and returns",

author = "P Janus and Lucas, \{A (Andr{\'e})\} and Opschoor, \{A (Anne)\} and \{van Dijk\}, Dick",

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language = "English",

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publisher = "Taylor \& Francis Ltd (UK)",

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TY - JOUR

T1 - New HEAVY models for fat-tailed realized covariances and returns

AU - Janus, P

AU - Lucas, A (André)

AU - Opschoor, A (Anne)

AU - van Dijk, Dick

PY - 2018

Y1 - 2018

UR - https://www.tandfonline.com/doi/full/10.1080/07350015.2016.1245622

U2 - 10.1080/07350015.2016.1245622

DO - 10.1080/07350015.2016.1245622

M3 - Article

SN - 0735-0015

VL - 36

SP - 643

EP - 657

JO - Journal of Business and Economic Statistics

JF - Journal of Business and Economic Statistics

IS - 4

ER -

New HEAVY models for fat-tailed realized covariances and returns

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