An Alternative GARCH-in-Mean Model: Structure and Estimation

DOI10.1080/03610926.2011.598999zbMath1319.62195OpenAlexW2050298316MaRDI QIDQ2839046

XingFa Zhang, Heung Wong, Wai-Cheung Ip, Yu'an Li

Publication date: 4 July 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.598999

zbMATH Keywords

asymptotic normalitygeometric ergodicityQMLEGARCH-in-mean model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (4)

A linear varying coefficient ARCH-M model with a latent variable ⋮ Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model ⋮ Appraisal of excess Kurtosis through outlier-modified GARCH-type models ⋮ A functional coefficient GARCH-M model

Cites Work

• Semiparametric inference in a GARCH-in-mean model
• Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
• Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
• ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
• Estimation and Testing Stationarity for Double-Autoregressive Models
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

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