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

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)

Cites Work

Generalized autoregressive conditional heteroscedasticity
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Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
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Estimation When a Parameter is on a Boundary
An Intertemporal Capital Asset Pricing Model
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Title not available (Why is that?)
Stability and the Lyapounov exponent of threshold AR-ARCH models
Non-standard inference for augmented double autoregressive models with null volatility coefficients
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
GARCH Models
A Note on Skewness and Kurtosis
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models

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