Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects

DOI10.1016/j.jeconom.2021.06.010OpenAlexW3004018402MaRDI QIDQ6090566

Siem Jan Koopman, Paolo Gorgi

Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.06.010

zbMATH Keywords

financial econometricsobservation-driven modelsrealized correlationleverage effectsdouble bounded time series

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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