Role of stylized features in constructing better estimators

L. Ramprasath

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 15, 7612-7620

Abstract: This 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.

Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2016.1157191 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:46:y:2017:i:15:p:7612-7620

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2016.1157191

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().