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Time series models have been widely used in simulating financial data sets. Finding a nice way to estimate the parameters is really important. One of the traditional ways is to use maximum likelihood estimation to make an approach. However, when the error terms don’t have normality, MLE would be less efficient. Quasi maximum likelihood estimation, also regarded as Gaussian MLE, would be more efficient. Considering the heavy-tailed financial data sets, we can use non-Gaussian quasi maximum likelihood, which needs less assumptions and conditions. We use real financial data sets to compare these estimators.
| Advisor: | Wu, Tung-Lung |
| Commitee: | Johnson, Corlis P., McBride, Matthew S., Miller, Thomas Len, Sepehrifar, Mohammad |
| School: | Mississippi State University |
| Department: | Mathematics and Statistics |
| School Location: | United States -- Mississippi |
| Source: | MAI 55/06M(E), Masters Abstracts International |
| Source Type: | DISSERTATION |
| Subjects: | Statistics, Finance, Industrial engineering |
| Keywords: | Emerging markets, Foreign exchange, Time series |
| Publication Number: | 10141678 |
| ISBN: | 978-1-339-97038-7 |
