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21-010/III - Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution


  • Authors
    Francisco Blasques, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam; Luca Rossini, Queen Mary University of London
  • Publication date
    January 24, 2021
  • Keywords
    Matrix Distributions, Tail Heterogeneity, (inverse) Riesz Distribution, Fat-Tails, Realized Covariance Matrices
  • JEL
    C58, C32, C46