New HEAVY Models for Fat-Tailed Realized Covariances and Returns

Journal of business & economic statistics, 2018-10, Vol.36 (4), p.643-657 [Peer Reviewed Journal]

2018 The Author(s). Published with license by Taylor & Francis © Anne Opschoor, Pawel Janus, André Lucas, and Dick Van Dijk 2018 ;Copyright © 2018 American Statistical Association ;2018 The Author(s). Published with license by Taylor & Francis. This work is licensed under the Creative Commons Attribution License http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 0735-0015 ;EISSN: 1537-2707 ;DOI: 10.1080/07350015.2016.1245622

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