Peter Reinhard Hansen, Chen Tong
arXiv 1 Apr 2024 · Econometrics · 1 citations (OpenAlex)
arXiv:2404.00864 · PDF · DOI · OpenAlex · Extracted main text
We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions. Unlike commonly used heavy-tailed distributions, the multivariate convolution-t distributions embody cluster structures with flexible nonlinear dependencies and heterogeneous marginal distributions. Importantly, convolution-t distributions have simple density functions that facilitate estimation and likelihood-based inference. The characteristic features of convolution-t distributions are found to be important in an empirical analysis of realized volatility measures and help identify their underlying factor structure.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Patil, V. H (1965) Approximation to the Behrens-Fisher distributions | 0.737 | 3 | 2 | 100% |
| 2 | Nadarajah, S. and Dey, D. K (2005) Convolutions of the T distribution | 0.585 | 3 | 1 | 100% |
| 3 | Kawata, T (1972) Fourier analysis in probability theory | 0.511 | 2 | 2 | 50% |
| 4 | Hurst, S (1995) The characteristic function of the Student t distribution | 0.511 | 2 | 1 | 100% |
| 5 | Kendall, D. G (1938) The effect of radiation damping and doppler broadening on the atomic absorption coefficient | 0.511 | 2 | 1 | 100% |
| 6 | Nason, G. P (2006) On the sum of t and Gaussian random variables | 0.511 | 2 | 1 | 100% |
| 7 | Andersen, T. G., Bollerslev, T., and Diebold, F. X (2007) Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility | 0.405 | 1 | 1 | 100% |
| 8 | Archakov, I. and Hansen, P. R (2023) A canonical representation of block matrices with applications to covariance and correlation matrices self | 0.405 | 1 | 1 | 100% |
| 9 | Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A., and Shephard, N (2011) Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and n… self | 0.405 | 1 | 1 | 100% |
| 10 | Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A., and Shephard, N (2008) Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise self | 0.405 | 1 | 1 | 100% |
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