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An Alternative Estimation for Functional Coefficient ARCH-M Model
School of Economics and Statistics, Guangzhou University, Guangzhou, China
School of Economics and Statistics, Guangzhou University, Guangzhou, China
- 1 School of Economics and Statistics, Guangzhou University, Guangzhou, China
- 2 School of Economics and Statistics, Guangzhou University, Guangzhou, China
Theoretical Economics Letters·Volume 06 (2016)·Pages 647–657·Published 19 July 2016·DOI10.4236/tel.2016.64070
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Abstract
This article provides an alternative approach to estimate the functional coefficient ARCH-M model given by Zhang, Wong and Li (2016) [1]. The new method has improvement in both computational and theoretical parts. It is found that the computation cost is saved and certain convergence rate for parameter estimation has been obtained.
KeywordsFunctional CoefficientARCH-M ModelConsistencyRisk Aversion
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