Empirical likelihood estimation for ARCH-M models

zbMATH Open1289.62094MaRDI QIDQ2860503FDOQ2860503

Authors: Yuan Li, Yan Sun 

Publication date: 19 November 2013

Published in: Journal of Guangzhou University. Natural Science Edition (Search for Journal in Brave)

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zbMATH Keywords

empirical likelihoodrisk aversionARCH-M models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Nonparametric tolerance and confidence regions (62G15)

Cited In (5)

• M-estimation and linear hypothesis testing in the ARCH model
• Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
• Empirical likelihood based estimation for a class of functional coefficient ARCH-M models
• Empirical likelihood parametric estimations for GARCH-M models
• Title not available (Why is that?)

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