Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models

SSRN Electronic Journal 2026 Preprint Open access

Read full text
Authors: Frederik Bjerg Krabbe
DOI: 10.2139/ssrn.6050501
Cited by: 1
References: 38

Fields of Study & Subjects

Statistical Methods and Inference Probability and Risk Models Financial Risk and Volatility Modeling

Publication details

Journal / source
SSRN Electronic Journal
Publisher
Elsevier BV
Publication date
1 January 2026
Document type
Preprint