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

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@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",

}