Frederik KRABBE (University of Aarhus) “Asymptotic Properties of The Maximum Likelihood Estimator for Markov-Switching Observation-Driven Models”

June 13 @ 11:00 am - 12:00 pm

Finance & Financial Econometrics : 
Time: 11:00 am
Date: 13th of June2023
Room 3001

Frederik KRABBE (University of Aarhus) “Asymptotic Properties of The Maximum Likelihood Estimator for Markov-Switching Observation-Driven Models”

Abstract : In this paper, we study the asymptotic properties of the maximum likelihood estimator for a so-called Markov-switching observation-driven model. The Markov-switching observation-driven model contains several models in the literature as special cases for which, to the best of our knowledge, no results for the asymptotic properties of the maximum likelihood estimator exist.

 

Organizers:

Jean-Michel ZAKOIAN (CREST)

Sponsors:
CREST

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