Semiparametric inference in a GARCH-in-mean model

DOI10.1016/j.jeconom.2011.09.028zbMath1441.62649OpenAlexW2144401408MaRDI QIDQ738173

Christian M. Dahl, Emma M. Iglesias, Bent Jesper Christensen

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.028

zbMATH Keywords

profile likelihoodsemiparametric inferenceefficiency boundGARCH-M modelrisk-return relation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (17)

Market price of risk estimation: Does distribution matter? ⋮ Asymptotics for parametric GARCH-in-mean models ⋮ Statistical inference for nonparametric GARCH models ⋮ A linear varying coefficient ARCH-M model with a latent variable ⋮ A new approach to risk-return trade-off dynamics via decomposition ⋮ Empirical likelihood based estimation for a class of functional coefficient ARCH-M models ⋮ On an asymmetric functional-coefficient ARCH-M model ⋮ Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model ⋮ The profile likelihood estimation for single-index ARCH(\(p\))-M model ⋮ Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff ⋮ A SIMPLE ITERATIVE Z-ESTIMATOR FOR SEMIPARAMETRIC MODELS ⋮ Empirical likelihood inference for functional coefficient ARCH-M model ⋮ Statistic inference for a single-index ARCH-M model ⋮ The time-varying GARCH-in-mean model ⋮ A functional coefficient GARCH-M model ⋮ An Alternative GARCH-in-Mean Model: Structure and Estimation ⋮ Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models

Cites Work

• Semiparametric efficient adaptive estimation of asymmetric GARCH models
• Joint and marginal specification tests for conditional mean and variance models
• Time series properties of ARCH processes with persistent covariates
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• Profile likelihood and conditionally parametric models
• ``Student and small-sample theory.
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• The efficiency of the estimators of the parameters in GARCH processes.
• Nonparametric statistics for stochastic processes
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation
• Estimation and Testing Stationarity for Double-Autoregressive Models
• An Intertemporal Capital Asset Pricing Model
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Martingale Central Limit Theorems

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