Empirical likelihood estimation for ARCH-M models

MaRDI QIDQ2860503zbMATH OpenFDO

Authors Yuan Li, Yan Sun

Publication date 19 November 2013

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

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)

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(5)

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