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11:00 am
Frederik KRABBE (University of Aarhus) “Asymptotic Properties of The Maximum Likelihood Estimator for Markov-Switching Observation-Driven Models”
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 […]
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