Semiparametric inference in a GARCH-in-mean model

Journal of Econometrics

Volumn 167, Issue 2, 2012, Pages 458-472

  Christensen, Bent Jesper ^a   Dahl, Christian M ^a,b   Iglesias, Emma M ^c  

^a AARHUS UNIVERSITY   (Denmark)

^b UNIVERSITY OF SOUTHERN DENMARK   (Denmark)

^c UNIVERSITY OF A CORUÑA   (Spain)

Author keywords

Efficiency bound; GARCH M model; Profile likelihood; Risk return relation; Semiparametric inference

Indexed keywords

ASSET PRICING MODEL; CONDITIONAL MEANS; FINITE SAMPLES; INITIAL ESTIMATE; LOWER BOUNDS; NON-PARAMETRIC; PARAMETRIC APPROACH; PROFILE LIKELIHOOD; RISK-RETURN RELATION; SEMIPARAMETRIC; SEMIPARAMETRIC INFERENCE; STOCK MARKET;

ESTIMATION; SAMPLING;

COMMERCE;

EID: 84857195482     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.09.028     Document Type: Conference Paper

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