The paper Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes (joint work with Daan Schoemaker and Andre Lucas) has been accepted for publication in the Journal of Financial Econometrics!

You can find three new working papers at the “Research” page. Two papers focus on modeling dynamic (realized) eigenvalue and/or eigenvectosr of (realized) covariance matrices (joint work with Justus Holman, Andre Lucas and Yicong Lin). The third paper is about multivariate tail risk (joint work with Manuel Schick).

The paper Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment (joint work with Laura Capera Romero) is accepted for publication in the Journal of Applied 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!

The paper Heterogeneity and Dynamics in Network Models (joint work with Enzo D’Innocenzo, André Lucas, and Xingmin Zhang) is accepted for publication in the Journal of Applied Econometrics

The paper `Time-varying variance and skewness in realized volatility measures’ (Joint work with Andre Lucas) has been accepted for publication in the International Journal of Forecasting

The paper `Paper Observation-driven Models for Realized Variances and Overnight Returns Applied to Value-at-Risk and Expected Shortfall Forecasting’ (Joint work with Andre Lucas) has been accepted for publication in the International Journal of Forecasting

The paper “Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings” (joint work with Andre Lucas, Istvan Barra and Dick van Dijk) is now accepted for publication in the Journal of Business and Economic Statistics

There is a new post on my research blog about time-varying tails of the distribution of realized kernels.  

Under `Research’, you can find two new TI Discussion papers.