Publications

Michael Stollenwerk (2023). Probability Distributions for Realized Covariance Measures.

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Michael Stollenwerk (2023). Generalized Autoregressive Score Models for Realized Covariance Matrices.

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Anne Opschoor, Michael Stollenwerk (2022). The Multivariate MF2 Realized GARCH Model.

Taras Bodnar, Yarema Okhrin, Nestor Parolya, Michael Stollenwerk (2021). Noncentral Skewed HEAVY Model for High-Dimensional Realized Returns and Covariances Matrices.

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Bastian Gribisch, Michael Stollenwerk (2020). Dynamic Principal Component CAW Models for High-Dimensional Realized Covariance Matrices. In Quantitative Finance.

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