Statistic inference for a single-index ARCH-M model

DOI10.1080/03610926.2017.1300283zbMath1388.62273OpenAlexW2594295248MaRDI QIDQ4638687

Zhiyong Hu, Qiang Xiong, Yu'an 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

goodness of fitasymptotic propertyprofile likelihood estimationARCH effectsingle-index ARCH-M model

Mathematics Subject Classification ID

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

Related Items (2)

On the test of the volatility proxy model ⋮ On an asymmetric functional-coefficient ARCH-M model

Cites Work

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• A functional coefficient GARCH-M model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Penalized Spline Estimation for Partially Linear Single-Index Models
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models

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