3 papers
econ.EM2026
Causal Non-causal State Space Models and the Modelling of Financial Bubbles
Frederik Bjerg Krabbe
In this paper, we study causal non-causal state space models to model time series characterised by a local explosive increase followed by a sharp decrease such as stock prices. To…
math.PR2025
A Note on "Quasi-Maximum-Likelihood Estimation in Conditionally Heteroscedastic Time Series: A Stochastic Recurrence Equations Approach"
Frederik Krabbe
Bougerol (1993) and Straumann and Mikosch (2006) gave conditions under which there exists a unique stationary and ergodic solution to the stochastic difference equation $Y_t \overs…
econ.EM2024
Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models
Frederik Krabbe
A Markov-switching observation-driven model is a stochastic process where is an unobserved Markov chain on a finite set…