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Empirical likelihood parametric estimations for GARCH-M models. (Chinese. English summary) Zbl 1313.62122
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
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