The paper The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices (joint work with Andre Lucas and Luca Rossini) has now been accepted for publication in the Journal of Financial Econometrics!
The paper The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices (joint work with Andre Lucas and Luca Rossini) has now been accepted for publication in the Journal of Financial Econometrics!