A functional coefficient GARCH-M model
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Cites work
- A class of threshold autoregressive conditional heteroscedastic models
- A semiparametric GARCH model for foreign exchange volatility
- An alternative GARCH-in-mean model: structure and estimation
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Introduction to empirical processes and semiparametric inference
- Semiparametric inference in a GARCH-in-mean model
Cited in
(7)- A linear varying coefficient ARCH-M model with a latent variable
- Statistic inference for a single-index ARCH-M model
- Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
- Functional-coefficient regression models with GARCH errors
- GARCH density and functional forecasts
- Appraisal of excess Kurtosis through outlier-modified GARCH-type models
- Orthogonal weighted empirical likelihood test for ARCH-M models with double functional coefficients
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