Statistic inference for a single-index ARCH-M model

DOI10.1080/03610926.2017.1300283MaRDI QIDQ4638687zbMATH OpenOpenAlexFDO

Authors Qiang Xiong, Zhiyong Hu, Yuan Li

Publication date 27 April 2018

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

Full work available at URL https://doi.org/10.1080/03610926.2017.1300283

zbMATH Keywords

ARCH effectasymptotic propertygoodness of fitprofile likelihood estimationsingle-index ARCH-M model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A consistent test for conditional heteroskedasticity in time-series regression models
• A functional coefficient GARCH-M model
• A test of conditional heteroscedasticity in time series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Generalized likelihood ratio statistics and Wilks phenomenon
• scientific article; zbMATH DE number 5224887 (Why is no real title available?)
• Nonlinear time series. Nonparametric and parametric methods
• Penalized Spline Estimation for Partially Linear Single-Index Models
• Profile likelihood and conditionally parametric models
• Semiparametric inference in a GARCH-in-mean model
• The impulse response function of the long memory GARCH process
• The profile likelihood estimation for single-index ARCH(\(p\))-M model
• Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models

Cited in

(4)

• The profile likelihood estimation for single-index ARCH(\(p\))-M model
• On the test of the volatility proxy model
• On an asymmetric functional-coefficient ARCH-M model
• Orthogonal weighted empirical likelihood test for ARCH-M models with double functional coefficients

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