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- W2498667322 abstract "AbstractThis article discusses the role played by stylized features of financial time series, in constructing better estimators for the model parameters. We study in detail one such estimator for the transition probabilities of a simple regime switching model. The estimator is based on the squared autocovariances of the time series, which has been discussed in several empirical studies of economic and financial time series. The effectiveness of this estimator in improving the estimation accuracy is investigated, using both finite sample and asymptotic computations. We also report simulation results, to confirm our findings and to extend our conclusions over a bigger region of the parameter space." @default.
- W2498667322 created "2016-08-23" @default.
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- W2498667322 date "2017-04-07" @default.
- W2498667322 modified "2023-09-23" @default.
- W2498667322 title "Role of stylized features in constructing better estimators" @default.
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- W2498667322 doi "https://doi.org/10.1080/03610926.2016.1157191" @default.
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