Empirical likelihood inference for functional coefficient ARCH-M model

DOI10.1007/s10114-018-8083-9zbMath1415.62069OpenAlexW2905358668MaRDI QIDQ1734927

Yan Meng Zhao, Hai Qing Zhao, Yu'an Li

Publication date: 27 March 2019

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-018-8083-9

zbMATH Keywords

empirical likelihoodARCH-M modelrelative risk aversion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items

Non-asymptotic error bound for optimal prediction of function-on-function regression by RKHS approach, On an asymmetric functional-coefficient ARCH-M model

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