Noncentral Skewed HEAVY Model for High-Dimensional Realized Returns and Covariances Matrices

Taras Bodnar, Yarema Okhrin, Nestor Parolya, Michael Stollenwerk
June, 2021
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Abstract

We combine the Non-Central matrix-F distribution assumed for the time-series of realized covariance matrices with a Non-Central multivariate t distribution for the open-to-close returns to derive a flexible HEAVY model that can control for market microstructure noise.

Type
Preprint
Realized Covariance Matrices Matrix Distributions Time-Series Models
Michael Stollenwerk
Michael Stollenwerk
Investment Risk Analyst

Investment Risk Analyst; enhancing the decisions of investment teams by providing quantitative analyses.