Xiong, Q., Li, Y. and Zhang, X. (2014) The Profile Likelihood Estimation for Single-Index ARCH(p)-M Model. Mathematical Problems in Engineering, 2014, Article ID: 189426.
http://dx.doi.org/10.1155/2014/189426

has been cited by the following article:

• TITLE: An Alternative Estimation for Functional Coefficient ARCH-M Model

  AUTHORS: Xingfa Zhang, Qiang Xiong

  KEYWORDS: Functional Coefficient, ARCH-M Model, Consistency, Risk Aversion

  JOURNAL NAME: Theoretical Economics Letters, Vol.6 No.4, July 28, 2016

  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.