A linear varying coefficient ARCH-M model with a latent variable-李元 (广州大学)

主  题:A linear varying coefficient ARCH-M model with a latent variable

内容简介:Motivated by the psychological factor of time-varying risk-return relationship, we study a linear varying coefficient ARCH-M model with a latent variable in this paper. Due to the unobservable property of latent variable, a corrected likelihood method is employed for parametric estimation. Estimators are proved to be consistent and asymptotically normal under certain regularity conditions. A simple Z-statistic is also established for testing latent variable effect. Simulation results confirm that our estimators and test perform well. We also apply our model to examine whether the risk-return relationship depends on investor sentiment in American Market and some explainable results are obtained.

报告人:李元      教授    博导

时  间:2017-09-01    14:00

地  点:竞慧东楼302

举办单位:理学院  统计科学与大数据研究院  科研部

 

责任编辑:科研处