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

內(nèi)容簡介：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.

報告人：李元      教授    博導(dǎo)

時  間：2017-09-01    14:00

地  點：競慧東樓302

舉辦單位：理學(xué)院  統(tǒng)計科學(xué)與大數(shù)據(jù)研究院  科研部