A linear varying coefficient ARCH-M model with a latent variable

DOI10.1007/S11425-016-5151-4MaRDI QIDQ341354zbMATH OpenOpenAlexFDO

Authors ZeFang Song, XingFa Zhang, Qiang Xiong, Yuan Li

Publication date 16 November 2016

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-016-5151-4

zbMATH Keywords

ARCH-M modelcorrected likelihoodlatent variablerisk-return relationship

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• Empirical likelihood inference for functional coefficient ARCH-M model
• A functional coefficient GARCH-M model
• Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
• Statistical inferences for a type of TGARCH model

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