A functional coefficient GARCH-M model
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Publication:2816837
DOI10.1080/03610926.2014.906615zbMath1347.62204OpenAlexW2408619300MaRDI QIDQ2816837
XingFa Zhang, Heung Wong, Yu'an Li
Publication date: 26 August 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.906615
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)
Related Items (3)
Appraisal of excess Kurtosis through outlier-modified GARCH-type models ⋮ Statistic inference for a single-index ARCH-M model ⋮ Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
Cites Work
- A semiparametric GARCH model for foreign exchange volatility
- A class of threshold autoregressive conditional heteroscedastic models
- Semiparametric inference in a GARCH-in-mean model
- Introduction to empirical processes and semiparametric inference
- An Alternative GARCH-in-Mean Model: Structure and Estimation
- Estimation and Testing Stationarity for Double-Autoregressive Models
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