Anatolyev, Stanislav; Khrapov, Stanislav - In: Econometrics : open access journal 3 (2015) 3, pp. 610-632
are more precisely estimated when no variance targeting is employed. Bias properties are exacerbated for a heavier … be more pronounced under variance targeting. Some effects further intensify if one uses ML based on a leptokurtic … targeting is used. Thus, if computational costs are not prohibitive, variance targeting should probably be avoided. …