an:06401909
Zbl 1313.62122
Li, Yuan; Cai, Fengjing; Sun, Yan; Zhao, Haiqing
Empirical likelihood parametric estimations for GARCH-M models
ZH
Acta Math. Appl. Sin. 37, No. 3, 557-571 (2014).
00341302
2014
j
62M10 62F10 62F12 62P20
GARCH-M models; empirical likelihood estimation; \(\chi^2\) distribution
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.