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