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Journal of Business & Economic Statistics Volume 36, 2018 - Issue 4
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Articles

New HEAVY Models for Fat-Tailed Realized Covariances and Returns

Anne Opschoora Department of Finance, Vrije Universiteit Amsterdam and Tinbergen Institute, 1081MSAmsterdam, The Netherlands ([email protected])
,
Pawel Janusb UBS Asset Management, Zürich, Switzerland ([email protected])
,
André Lucasc Department of Finance, Vrije Universiteit Amsterdam and Tinbergen Institute, 1081MSAmsterdam, The Netherlands ([email protected])
&
Dick Van Dijkd Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute, 3062PARotterdam, The Netherlands ([email protected])
Pages 643-657 | Received 01 Aug 2015, Published online: 16 May 2017

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Emmanuel Alphonsus Akpan, Kazeem Etitayo Lasisi, Imoh Udo Moffat & Ubon Akpan Abasiekwere. (2023) Appraisal of excess Kurtosis through outlier-modified GARCH-type models. Communications in Statistics - Simulation and Computation 52:4, pages 1523-1537.
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Gustav Alfelt, Taras Bodnar & Joanna Tyrcha. (2020) Goodness-of-fit tests for centralized Wishart processes. Communications in Statistics - Theory and Methods 49:20, pages 5060-5090.
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M. Karanasos & S. Yfanti. (2020) On the macro-drivers of realized volatility: the destabilizing impact of UK policy uncertainty across Europe. The European Journal of Finance 26:12, pages 1146-1183.
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Xin Jin, Jia Liu & Qiao Yang. (2021) Does the Choice of Realized Covariance Measures Empirically Matter? A Bayesian Density Prediction Approach. Econometrics 9:4, pages 45.
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M. Karanasos, S. Yfanti & A. Christopoulos. (2020) The long memory HEAVY process: modeling and forecasting financial volatility. Annals of Operations Research 306:1-2, pages 111-130.
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Francisco Blasques, André Lucas & Andries C. van Vlodrop. (2021) Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence. Econometrics and Statistics 19, pages 47-57.
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Manabu Asai & Mike K. P. So. (2020) Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models. Journal of Time Series Analysis 42:3, pages 271-294.
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Anne Opschoor & André Lucas. (2021) Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting. International Journal of Forecasting 37:2, pages 622-633.
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Xin Jin, John M. Maheu & Qiao Yang. (2019) Bayesian parametric and semiparametric factor models for large realized covariance matrices. Journal of Applied Econometrics 34:5, pages 641-660.
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Tim Bollerslev, Andrew J. Patton & Rogier Quaedvlieg. (2018) Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. Journal of Econometrics 207:1, pages 71-91.
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Ekaterina Kazak, Yifan Li, Ingmar Nolte & Sandra Nolte (Lechner). (2022) Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility. SSRN Electronic Journal.
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Francisco Blasques, Andre Lucas, Anne Opschoor & Luca Rossini. (2021) Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. SSRN Electronic Journal.
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Jan P. Hartkopf. (2020) From Large to Vast: Composite Forecasting of Vast-Dimensional Realized Covariance Matrices Using Factor State-Space Models. SSRN Electronic Journal.
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Simon Bodilsen. (2020) Multivariate High-Frequency-Based Factor Model. SSRN Electronic Journal.
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Anne Opschoor & Andre Lucas. (2019) Observation-driven Models for Realized Variances and Overnight Returns. SSRN Electronic Journal.
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Anne Opschoor & Andre Lucas. (2019) Time-Varying Tail Behavior for Realized Kernels. SSRN Electronic Journal.
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Danilo Vassallo, Giuseppe Buccheri & Fulvio Corsi. (2018) A DCC-Type Approach for Realized Covariance Modelling With Score-Driven Dynamics. SSRN Electronic Journal.
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Bastian Gribisch, Jan Patrick Hartkopf & Roman Liesenfeld. (2018) Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns. SSRN Electronic Journal.
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Xin Jin, John M. Maheu & Qiao Yang. (2017) Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. SSRN Electronic Journal.
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Vasyl Golosnoy, Bastian Gribisch & Miriam Isabel Seifert. (2017) Exponential Smoothing of Realized Portfolio Weights. SSRN Electronic Journal.
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Leopoldo Catania & Stefano Grassi. (2017) Modelling Crypto-Currencies Financial Time-Series. SSRN Electronic Journal.
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Andre Lucas & Anne Opschoor. (2016) Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. SSRN Electronic Journal.
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Drew D. Creal, Siem Jan Koopman, Andre Lucas & Marcin Zamojski. (2015) Generalized Autoregressive Method of Moments. SSRN Electronic Journal.
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Drew Creal, Siem Jan Koopman, Andre Lucas & Marcin Zamojski. (2018) Generalized Autoregressive Method of Moments. SSRN Electronic Journal.
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