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.