Volume 17, Issue 1, Winter 2019

Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model

• Abstract
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Factor High-Frequency-Based Volatility (HEAVY) Models

• Abstract
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• Supplementary data

Fractional Integration and Fat Tails for Realized Covariance Kernels

• Abstract
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• Supplementary data

Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal Components for Robust Modeling of Daily Returns Series

• Abstract
• View article
• Supplementary data

Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas

• Abstract
• View article
• Supplementary data