Long Memory Dynamics for Multivariate Dependence under Heavy Tails

By Pawel Janus, S. J. Koopman, André Lucas. 2014

58 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/70a61e6b6a02b5a78bccab3bf74fc75baa0811a4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Pawel Janus
2. Dick Van Dijk
3. A. Opschoor
4. André Lucas
5. S. J. Koopman
6. James W. Taylor
7. Andrew J. Patton

In Management Science and Operations Research

1. Dick Van Dijk
2. André Lucas
3. Pawel Janus
4. A. Opschoor

Citations in the corpus

• New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2017, background): “Incidental large observations may easily corrupt the estimated dynamic pattern of the underlying covariance matrix if distributions with relatively thin tails are used; see Creal, Koopman, and Lucas (2011), Janus, Koopman, and Lucas (2014), Harvey (2013), and Lucas, Schwaab, and Zhang (2014).”