[HTML][HTML] Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects
P Gorgi, SJ Koopman - Journal of Econometrics, 2023 - Elsevier
We consider a general class of observation-driven models with exogenous regressors for
double bounded data that are based on the beta distribution. We obtain a stationary and …
double bounded data that are based on the beta distribution. We obtain a stationary and …
Sequential Change-point Detection for Compositional Time Series with Exogenous Variables
Y Liu, B Andrews - arXiv preprint arXiv:2402.18130, 2024 - arxiv.org
Sequential change-point detection for time series enables us to sequentially check the
hypothesis that the model still holds as more and more data are observed. It is widely used …
hypothesis that the model still holds as more and more data are observed. It is widely used …
Sequential Change-point Detection for Time Series
Y Liu - 2022 - search.proquest.com
Sequential change-point detection for time series enables us to sequentially check the
hypothesis that the model still holds as more and more data are observed. It's widely used in …
hypothesis that the model still holds as more and more data are observed. It's widely used in …