Empirical likelihood based estimation for a class of functional coefficient ARCH-M models
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2018.1554139
Abstract: Abstract A class of functional coefficient ARCH-M models are discussed in this paper. Based on empirical likelihood method, a weighted empirical likelihood estimation procedure is proposed for estimating the functional coefficients. Furthermore, the constructed empirical… read more here.
Keywords: coefficient arch; estimation; likelihood; empirical likelihood ... See more keywords