庆祝研究院成立一周年系列报告:A linear varying coefficient ARCH-M model with a latent variable-李元 (广州大学)
庆祝研究院成立一周年系列报告:A linear varying coefficient ARCH-M model with a latent variable-李元 (广州大学)
发布时间:2017-08-29 浏览次数:
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室
举办单位: 理学院、统计科学与大数据研究院、科研部
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室
举办单位: 理学院、统计科学与大数据研究院、科研部