Role of Stylized features in Constructing estimators for Regime Switching Models

dc.contributor.author	Ramprasath, L
dc.date.accessioned	2016-05-26T08:18:21Z
dc.date.available	2016-05-26T08:18:21Z
dc.date.issued	2015
dc.identifier.uri	http://hdl.handle.net/2259/682
dc.description	Indian Institute of Management, Kozhikode, Kerala, INDIA	en_US
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	Indian Institute of Management Kozhikode	en_US
dc.relation.ispartofseries	;IIMK/WPS/172/FIN/2015/08
dc.subject	Regime switching	en_US
dc.subject	Stylized feature	en_US
dc.subject	Volatility clustering	en_US
dc.subject	Estimation	en_US
dc.subject	Method of moments	en_US
dc.subject	Markov switching	en_US
dc.title	Role of Stylized features in Constructing estimators for Regime Switching Models	en_US
dc.type	Working Paper	en_US