27-010/IV - TEST DP Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution

• Authors
  Andre Lucas, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam; Luca Rossini, University of Milan
• Publication date
  April 26, 2024

• Keywords
  matrix distributions, tail heterogeneity