An Alternative GARCH-in-Mean Model: Structure and Estimation
Author:
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03610926.2011.598999
Reference14 articles.
1. Measuring risk aversion from excess returns on a stock index
2. Semiparametric inference in a GARCH-in-mean model
3. Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
4. Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
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2. Appraisal of excess Kurtosis through outlier-modified GARCH-type models;Communications in Statistics - Simulation and Computation;2021-03-13
3. A linear varying coefficient ARCH-M model with a latent variable;Science China Mathematics;2016-05-12
4. A functional coefficient GARCH-M model;Communications in Statistics - Theory and Methods;2015-07-15
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