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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| Format: | Thesis |
| Language: | eng eng eng |
| Published: |
2018
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| Subjects: | |
| Online Access: | 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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