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Beta Models Analysis.pdf

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Preview of Beta Models Analysis
🔗 Source: papers.tinbergen.nl
📊 Size: 464 KB
📄 Pages: 38 pages
⬇️ Downloads: 61

Summary

Beta observation-driven models with exogenous regressors are considered for double bounded data based on the beta distribution, with conditions for stationarity, ergodicity, strong consistency, and asymptotic normality of the maximum likelihood estimator derived. The model is applied to analyze realized correlations and leverage effects in stock returns, finding that the impact of past values of realized correlation on future values is higher when stock returns are negative. The model with leverage effects enhances the accuracy of point and density forecasts of realized correlations.

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Description

Beta observation-driven models with exogenous regressors are considered for double bounded data based on the beta distribution, with conditions for...

Technical Information

  • File Format: PDF
  • File Size: 464 KB
  • Pages: 38
  • Language: EN
  • Total Downloads: 61
  • Last Updated: 4 weeks ago

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