Role of stylized features in constructing estimators for regime switching models

Ramprasath L. ()
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Ramprasath L.: Indian Institute of Management Kozhikode

No 172, Working papers from Indian Institute of Management Kozhikode

Abstract: This article explores a link between stylized features and estimation accuracy, in the context of estimating the transition probabilities in regime switching models. We provide an example where estimators that are constructed primarily to capture stylized features, need not perform better than the usual estimators. We show this for finite samples, using both simulations and analytical comparisons.

Keywords: Regime switching; Stylized feature; Volatility clustering; Estimation; Method of moments; Markov switching (search for similar items in EconPapers)
Pages: 11 pages
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:iik:wpaper:172

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