Seminario de A&E

Christian Francq (ENSAE)   "Realized autoregressive conditional betas by Mariia Artemova, Christian Francq and Sébastien Laurent" Abstract: We propose a new model called RACB (Realized Autoregressive Conditional Beta) to model the dynamics of slope parameters (or betas) in a linear regression model with heteroscedastic errors. The proposed model is a quasi score-driven model obtained by […]