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.
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报告人: | 李元 教授、博导
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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 |