Li, Yuan; Cai, Fengjing; Sun, Yan; Zhao, Haiqing Empirical likelihood parametric estimations for GARCH-M models. (Chinese. English summary) Zbl 1313.62122 Acta Math. Appl. Sin. 37, No. 3, 557-571 (2014). Summary: We study inference on parameters of GARCH-M models in this paper. The empirical likelihood method is used to construct test statistics. Under mild conditions, statistics are shown to have asymptotic \(\chi^2\) distributions. Based on these statistics, test statistics for the relative risk aversion \(\delta\) of a market are constructed by profile likelihood idea and are shown to be asymptotically distributed as \(\chi^2\) distribution. Simulations show that the proposed empirical likelihood statistics behave well. MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62F10 Point estimation 62F12 Asymptotic properties of parametric estimators 62P20 Applications of statistics to economics Keywords:GARCH-M models; empirical likelihood estimation; \(\chi^2\) distribution PDF BibTeX XML Cite \textit{Y. Li} et al., Acta Math. Appl. Sin. 37, No. 3, 557--571 (2014; Zbl 1313.62122)