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 $((S_t,Y_t){)}_{t\in \mathbb{Z}}$ where $(S_t{)}_{t\in \mathbb{Z}}$ is an unobserved Markov chain on a finite set…