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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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