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173 – Section on Risk Analysis Topic-Contributed
Asymptotic Properties of the Maximum Likelihood Estimator of the Mixture Autoregressive Model with Applications to Financial Risk
Sponsor: Section on Risk Analysis
Keywords: Mixture autoregressive models, maximum likelihood estimator (MLE), financial risk, Asymptotic Properties
Mary I. Akinyemi
University of Lagos
Georgi N. Boshankov
University of Manchester
Mixture autoregressive models provide a flexible framework for modelling time series. These models capture conditional heterogeneity, multi-modality, skewness, kurtosis and heavy tails using only standard distributions as building blocks. We show that the maximum likelihood estimator (MLE) of this class of models is consistent and asymptotically normal. We also give applications to estimation of financial risk.