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Author(s)
2013
A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data
Bos, Charles S.
;
Janus, Pawel
2014
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
Janus, Pawel
;
Lucas, André
;
Opschoor, Anne
2016
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
Hansen, Peter Reinhard
;
Janus, Pawel
;
Koopman, Siem Jan
2011
Long Memory Dynamics for Multivariate Dependence under Heavy Tails
Janus, Pawel
;
Koopman, Siem Jan
;
Lucas, André
2009
Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S.
;
Janus, Pawel
;
Koopman, Siem Jan
Author
3
Koopman, Siem Jan
2
Bos, Charles S.
2
Lucas, André
1
Hansen, Peter Reinhard
1
Opschoor, Anne
year of Publication
1
2016
1
2014
1
2013
1
2011
1
2009