文章基本信息

标题：An Alternative Estimation for Functional Coefficient ARCH-M Model
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作者：Xingfa Zhang ; Qiang Xiong
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2016
卷号：06
期号：04
页码：647-657
DOI：10.4236/tel.2016.64070
语种：English
出版社：Scientific Research Publishing
摘要：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.
关键词：Functional Coefficient;ARCH-M Model;Consistency;Risk Aversion