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20-004/III - Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects


  • Authors
    Paolo Gorgi, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam
  • Publication date
    January 27, 2020
  • Keywords
    Double bounded time series, financial econometrics, leverage effects, observation- driven models, realized correlation
  • JEL
    C32, C52, C58