Search Results - subject:"Double bounded time series"

Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models

Armillotta, Mirko; Gorgi, Paolo - 2023

naturally in observation-driven models with bounds in the support of the observable process, such as count processes and double-bounded … time series. We derive the asymptotic properties of the estimators and a validity test for the parameter restrictions. We …

Persistent link: https://www.econbiz.de/10014469698

Pseudo-variance quasi-maximum likelihood estimation of semiparametric time series models

Armillotta, Mirko; Gorgi, Paolo - 2023

Persistent link: https://www.econbiz.de/10014380737

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

Gorgi, Paolo; Koopman, Siem Jan - 2020

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 ergodic beta observation-driven process subject to a contraction condition on the stochastic dynamic model equation. We...

Persistent link: https://www.econbiz.de/10012233966

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

Gorgi, Paolo; Koopman, Siem Jan - 2020

Persistent link: https://www.econbiz.de/10012161059