Browsing All of EconStor by Author Janus, Pawel
Showing results 1 to 5 of 5
Year of Publication | Title | Author(s) |
2009 | Spot Variance Path Estimation and its Application to High Frequency Jump Testing | Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan |
2011 | Long Memory Dynamics for Multivariate Dependence under Heavy Tails | Janus, Pawel; Koopman, Siem Jan; Lucas, André |
2013 | A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data | Bos, Charles S.; Janus, Pawel |
2014 | New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels | Janus, Pawel; Lucas, André; Opschoor, Anne |
2016 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model | Hansen, Peter Reinhard; Janus, Pawel; Koopman, Siem Jan |