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基于半参数ARCH-M模型的风险厌恶度量 被引量：1

Measuring the risk aversion by the semi-parametric ARCH-M model
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摘要 提出了风险厌恶度量的半参数ARCH-M模型,给出了两步估计方法来估计均值中的未知函数和未知参数:第一步是基于局部线性估计方法,第二步是基于极大似然估计方法.在一定的条件下讨论了估计的渐近性质. A semi-parametric ARCH-M model is proposed to measure the risk aversion of the stock market. Two-step estimates are suggested to estimate the nonparametric function in the price of volatility and parameters in volatility, in which the first step estimate is based on local linear smoothing and the second-step estimate on the maximum likelihood method. Asymptotic properties of the estimators are discussed based on some assumptions.
作者 李元 张兴发
机构地区 广州大学数学与信息科学学院
出处 《广州大学学报（自然科学版）》 CAS 2008年第3期1-5,共5页 Journal of Guangzhou University:Natural Science Edition
关键词 风险厌恶 ARCH-M模型 半参数模型 risk aversion ARCH-M model semi-parametric model
分类号 O212.7 [理学—概率论与数理统计]
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参考文献7

  • 1Engle R F, Lilien D,Robins R. Estimating time varying risk premia in the term structure: the ARCH-M model[ J]. Econometrica, 1987,55 : 391-407.
  • 2Chou R, Engle R F, Kane A. Measuring risk aversion from excess return on a stock index[ J]. J Econometrics, 1992,52:201- 224.
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同被引文献8

  • 1Engle R F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation [J]. Econometrica, 1982, 50(4): 987-1007.
  • 2Bollerslev T. Generalized autoregressive conditional heteroskedasticity [J]. Journal of Econometrics, 1986, 31: 307-327.
  • 3Engle R F, Lilien D M, Robins R P. Estimating time varying risk premia in the term structure: the ARCH-M model [J]. Econometrica, 1987, 55:391 -407.
  • 4Chou R, Engle R F, Kane A. Measuring risk aversion from excess returns on a stock index [J]. Journal of Econometrics, 1992, 52: 201-224.
  • 5Das S, Sarkar N. Is the relative risk aversion parameter constant over time? A multi-country study [J]. EmpiricM Economics, 2010, 38: 605-617.
  • 6Ling S. A double AR(p) model: Structure and estimation [J]. Statistica Sinica, 2007, 17: 161-175.
  • 7Christensen B J, Dahl C M, Iglesias E M. Semiparametric inference in a GARCH-in-Mean model [J]. Journal of Econometrics, 2011, 167: 458-472.
  • 8Xiong Q, Li Y, Zhang X. The profile likelihood estimation for single-index ARCH(p)-M model [J]. Mathematical Problems in Engineering, 2014: 1-17.

引证文献1

二级引证文献4

广州大学学报（自然科学版）
2008年 第3期

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