Statistic inference for a single-index ARCH-M model-Reference-Cited by-同舟云学术

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Statistic inference for a single-index ARCH-M model

Published:2017-09-08 Issue:1 Volume:47 Page:102-117
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Xiong Qiang¹²^ORCID,Hu Zhiyong¹²,Li Yuan¹²³

Affiliation:

1. Department of Statistics, School of Economics and Statistics, Guangzhou University, Guangzhou, China

2. Center for Statistical Science of Lingnan, Guangzhou University, Guangzhou, China

3. School of Mathematics and Comutationam Science, Shenzhen University, Shenzhen, China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2017.1300283

Reference25 articles.

1. Time Dependence and Moments of a Family of Time-Varying Parameter Garch in Mean Models

2. Theoretical Relations Between Risk Premiums and Conditional Variances

3. A test of conditional heteroscedasticity in time series

4. Measuring risk aversion from excess returns on a stock index

5. Semiparametric inference in a GARCH-in-mean model

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On an asymmetric functional-coefficient ARCH-M model;Communications in Nonlinear Science and Numerical Simulation;2024-06

2. Garch Model Test Using High-Frequency Data;Mathematics;2020-11-02

3. On the test of the volatility proxy model;Communications in Statistics - Simulation and Computation;2020-10-27

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