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

Research output: Working paper / Preprint › Working paper › Academic

Access to Document

@techreport{a5ce492b0f0447d3a86f3ca3164ccc89,

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

author = "Paolo Gorgi and Koopman, {Siem Jan}",

year = "2020",

month = jan,

day = "27",

language = "English",

volume = "20-004",

series = "TI Discussion Paper series",

publisher = "Tinbergen Institute",

number = "III",

edition = "III",

type = "WorkingPaper",

institution = "Tinbergen Institute",

}