Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model

DOI10.1111/JTSA.12645MaRDI QIDQ6134640zbMATH OpenOpenAlexFDO

Authors Dong Li

Publication date 22 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12645

zbMATH Keywords

heavy-tailednessnon-standard asymptoticsover-parametrizationself-weighted QMLEgeneralized-risk-in-mean model

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

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