New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages31
Publication statusPublished - 2014

Publication series

NameTI Discussion Paper
No.14-073/IV

Cite this

Janus, P., Lucas, A., & Opschoor, A. (2014). New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels. (TI Discussion Paper; No. 14-073/IV). Amsterdam: Tinbergen Institute.