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