Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution

Research output: Working paper / Preprint › Working paper › Professional

Name	TI discussion paper series
No.	21-010/III

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title = "Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution",

author = "Francisco Blasques and Andre Lucas and Anne Opschoor and Luca Rossini",

year = "2021",

month = jan,

day = "24",

language = "English",

volume = "21",

series = "TI discussion paper series",

publisher = "Tinbergen Instituut",

number = "21-010/III",

edition = "010/III",

type = "WorkingPaper",

institution = "Tinbergen Instituut",

}

TY - UNPB

T1 - Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables

T2 - the F-Riesz Distribution

AU - Blasques, Francisco

AU - Lucas, Andre

AU - Opschoor, Anne

AU - Rossini, Luca

PY - 2021/1/24

Y1 - 2021/1/24

M3 - Working paper

VL - 21

T3 - TI discussion paper series

BT - Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables

PB - Tinbergen Instituut

ER -