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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…
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…