Let ${\mathrm{Z}}_{{\mathrm{M}}_{1}\times \mathrm{N}}={\mathrm{T}}^{\frac{1}{2}}\mathrm{X}$ where (T½)2 = T is a positive definite matrix and X consists of ...
This is a preview. Log in through your library . Abstract We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We ...
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