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Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models
1 : Aarhus University
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 proposed 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.
