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Role of stylized features in constructing estimators for regime switching models

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  • L. Ramprasath

    (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.

Suggested Citation

  • L. Ramprasath, 2015. "Role of stylized features in constructing estimators for regime switching models," Working papers 172, Indian Institute of Management Kozhikode.
    • Handle: RePEc:iik:wpaper:172
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    References listed on IDEAS

    as
    1. Kim, Tae-Hwan & White, Halbert, 2004. "On more robust estimation of skewness and kurtosis," Finance Research Letters, Elsevier, vol. 1(1), pages 56-73, March.
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