On an asymmetric functional-coefficient ARCH-M model

DOI10.1016/J.CNSNS.2024.107990MaRDI QIDQ6131404zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic propertyARCH-M modelprofile likelihood estimationasymmetric effectARCH effect

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 5224887 (Why is no real title available?)
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• Empirical likelihood inference for functional coefficient ARCH-M model
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Generalized likelihood ratio statistics and Wilks phenomenon
• Introduction to empirical processes and semiparametric inference
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• Non-standard inference for augmented double autoregressive models with null volatility coefficients
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
• On a vector double autoregressive model
• Semiparametric inference in a GARCH-in-mean model
• Statistic inference for a single-index ARCH-M model
• Threshold heteroskedastic models

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