The profile likelihood estimation for single-index ARCH(\(p\))-M model

DOI10.1155/2014/189426zbMath1407.62333OpenAlexW1995359727WikidataQ59063651 ScholiaQ59063651MaRDI QIDQ1717839

Qiang Xiong, XingFa Zhang, Yu'an Li

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/189426

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Empirical likelihood based estimation for a class of functional coefficient ARCH-M models ⋮ Empirical likelihood inference for functional coefficient ARCH-M model ⋮ Statistic inference for a single-index ARCH-M model

Cites Work

• A semiparametric GARCH model for foreign exchange volatility
• Semiparametric inference in a GARCH-in-mean model
• Statistical inference for a single-index varying-coefficient model
• Nonparametric statistics for stochastic processes
• Introduction to empirical processes and semiparametric inference
• Penalized Spline Estimation for Partially Linear Single-Index Models
• On Single-Index Coefficient Regression Models
• Unnamed Item

This page was built for publication: The profile likelihood estimation for single-index ARCH(\(p\))-M model