A linear varying coefficient ARCH-M model with a latent variable

DOI10.1007/s11425-016-5151-4zbMath1349.62429OpenAlexW2359235644MaRDI QIDQ341354

Qiang Xiong, XingFa Zhang, ZeFang Song, Yu'an Li

Publication date: 16 November 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-016-5151-4

zbMATH Keywords

latent variablerisk-return relationshipARCH-M modelcorrected likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Empirical likelihood inference for functional coefficient ARCH-M model

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