Vaynman, Igor; Beare, Brendan K. - In: Essays in honor of Peter C.B. Phillips, (pp. 639-672). 2014
The variance targeting estimator (VTE) for generalized autoregressive conditionally heteroskedastic (GARCH) processes has been proposed as a computationally simpler and misspecification-robust alternative to the quasi-maximum likelihood estimator (QMLE). In this paper we investigate the...