New HEAVY Models for Fat-Tailed Realized Covariances and Returns
适用于厚尾已实现协方差与收益的新 HEAVY 模型
We develop a new score-driven model for the joint dynamics of fat-tailed realized covariance matrix observations and daily returns. The score dynamics for the unobserved true covariance matrix are robust to outliers and incidental large observations in both types of data by assuming a matrix-F distribution for the realized covariance measures and a multivariate Student's t distribution for the daily returns. The filter for the unknown covariance matrix has a computationally…