On an asymmetric functional-coefficient ARCH-M model
DOI10.1016/J.CNSNS.2024.107990OpenAlexW4393087541MaRDI QIDQ6131404FDOQ6131404
Authors: Xiaotong Zhong, Qiang Xiong 
Publication date: 5 April 2024
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2024.107990
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Cites Work
- Introduction to empirical processes and semiparametric inference
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- Generalized likelihood ratio statistics and Wilks phenomenon
- Nonlinear time series. Nonparametric and parametric methods
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Functional-Coefficient Regression Models for Nonlinear Time Series
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- Semiparametric inference in a GARCH-in-mean model
- Threshold heteroskedastic models
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- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- A nonlinear time series approach to modelling asymmetry in stock market indexes
- A test of conditional heteroscedasticity in time series
- On a vector double autoregressive model
- Empirical likelihood inference for functional coefficient ARCH-M model
- Linear double autoregression
- Modeling the interactions between volatility and returns using EGARCH-M
- Statistic inference for a single-index ARCH-M model
- Asymmetric linear double autoregression
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