The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its entries in the infinite-variance case and derive results for the ordered eigenvalues and corresponding eigenvectors. Essentially, we consider two different cases where the tail behavior …