Enhanced variance targeting estimator for parameter estimation in GARCH model / Muhammad Asmu'i Abdul Rahim

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Enhanced variance targeting estimator for parameter estimation in GARCH model / Muhammad Asmu'i Abdul Rahim

The aims of this study is to investigate two issues that affect the estimator's performance which are a well specified conditional variance and the existence of the finite fourth order moment to retain the estimator's performance. This study focuses on variance targeting estimator (VTE) as...

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Bibliographic Details
Main Author:	Abdul Rahim, Muhammad Asmu'i
Format:	Thesis
Language:	English
Published:	2017
Subjects:	Analysis
Online Access:	https://ir.uitm.edu.my/id/eprint/18847/

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