Empirical likelihood based estimation for a class of functional coefficient ARCH-M models

DOI10.1080/03610926.2018.1554139OpenAlexW2908328639MaRDI QIDQ5077366FDOQ5077366

Xiaoshuang Zhou, Pei Xin Zhao, Yiping Yang

Publication date: 18 May 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2018.1554139

zbMATH Keywords

confidence intervalempirical likelihoodARCH-M modelfunctional coefficient model

Mathematics Subject Classification ID

Statistics (62-XX) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Empirical likelihood methods with weakly dependent processes
• Empirical likelihood for linear models
• Empirical likelihood for partially linear models
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Empirical Likelihood Semiparametric Regression Analysis for Longitudinal Data
• Empirical Likelihood for a Varying Coefficient Model With Longitudinal Data
• Nonparametric quasi-likelihood
• Empirical likelihood for semiparametric varying-coefficient partially linear regression models
• More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
• Empirical likelihood for partial linear models with fixed designs
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Semiparametric inference in a GARCH-in-mean model
• Empirical Likelihood Local Polynomial Regression Analysis of Clustered Data
• CONVERGENCE RATES OF ESTIMATORS IN PARTIAL LINEAR REGRESSION MODELS WITH MA(∞) ERROR PROCESS
• Empirical likelihood based inference for the derivative of the nonparametric regression function
• The autocorrelation structure for the GARCH-M process
• The profile likelihood estimation for single-index ARCH(\(p\))-M model
• Selecting the order of an ARCH model

Cited In (3)

• Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
• Title not available (Why is that?)
• Empirical likelihood estimation for ARCH-M models

This page was built for publication: Empirical likelihood based estimation for a class of functional coefficient ARCH-M models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5077366)