Carlos Lamarche (University of Kentucky) "Partitioned Wild Bootstrap for Panel Data Quantile Regression (joint work with Antonio Galvao and Tom Parker)" Face-to-face Seminar - Room 15.1.39
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Econometrics Seminar
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Realized autoregressive conditional betas by Mariia Artemova, Christian Francq and Sébastien Laurent
15.1.39Christian Francq (ENSAE) "Realized autoregressive conditional betas by Mariia Artemova, Christian Francq and Sébastien Laurent" 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 modelling […]