On an asymmetric functional-coefficient ARCH-M model-Reference-Cited by-同舟云学术

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On an asymmetric functional-coefficient ARCH-M model

Published:2024-06 Issue: Volume:133 Page:107990
ISSN:1007-5704
Container-title:Communications in Nonlinear Science and Numerical Simulation
language:en
Short-container-title:Communications in Nonlinear Science and Numerical Simulation

Author:

Zhong Xiaotong,Xiong Qiang^ORCID

Publisher

Elsevier BV

Reference37 articles.

1. Estimating time varying risk premia in the term structure: The ARCH-M model;Engle;Econometrica,1987

2. Is the relative risk aversion parameter constant over time? A multi-country study;Das;Empir Econ,2010

3. Measuring risk aversion from excess returns on a stock index;Chou;J Econometrics,1992

4. Semiparametric inference in a GARCH-in-Mean model;Christensen;J Econometrics,2012

5. Testing for ARCH effect in functional coefficient ARCH-M models;Xiong;J Appl Stat Manag,2016

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