Improvement of Vector Autoregression (VAR) estimation using Combine White Noise (CWN) technique

Improvement of Vector Autoregression (VAR) estimation using Combine White Noise (CWN) technique

Previous studies revealed that Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) outperformed Vector Autoregression (VAR) when data exhibit heteroscedasticity. However, EGARCH estimation is not efficient when the data have leverage effect. Therefore, in this study the weakn...

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書目詳細資料
主要作者:	Abraham, Agboluaje Ayodele
格式:	Thesis
語言:	eng eng eng
出版:	2018
主題:	QA71-90 Instruments and machines T Technology (General)
在線閱讀:	https://etd.uum.edu.my/6900/1/DepositPermission_s94907.pdf https://etd.uum.edu.my/6900/2/s94907_01.pdf https://etd.uum.edu.my/6900/3/s94907_02.pdf
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