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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书目详细资料
主要作者:	Abraham, Agboluaje Ayodele
格式:	Thesis
语言:	eng eng eng
出版:	2018
主题:	QA71-90 Instruments and machines T Technology (General)
在线阅读:	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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