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DTSTART;TZID=Europe/Helsinki:20240613T110000
DTEND;TZID=Europe/Helsinki:20240613T120000
DTSTAMP:20260410T082916
CREATED:20240611T170728Z
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UID:15432-1718276400-1718280000@econ.ip-paris.fr
SUMMARY:Frederik KRABBE (University of Aarhus) "Asymptotic Properties of The Maximum Likelihood Estimator for Markov-Switching Observation-Driven Models"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 11:00 am\nDate: 13th of June2023\nRoom 3001 \nFrederik KRABBE (University of Aarhus) “Asymptotic Properties of The Maximum Likelihood Estimator for Markov-Switching Observation-Driven Models” \nAbstract : 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. \n  \nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://econ.ip-paris.fr/event/frederik-krabbe-university-of-aarhus/
CATEGORIES:Finance,Financial Econometrics,Seminars
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