| ARCH-M模型的经验似然估计 |
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| 引用本文： | 孙岩,李元.ARCH-M模型的经验似然估计[J].广州大学学报(综合版),2012(2):10-13. |
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| 作者姓名： | 孙岩 李元 |
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| 作者单位： | 广州大学数学与信息科学学院,广东广州510006 |
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| 基金项目： | 国家自然科学基金项目（10971042）资助 |
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| 摘 要： | 基于ARCH-M模型研究市场总体风险厌恶的度量问题.首先应用经验似然方法构造了检验统计量,并在一定的条件下,证明了所构造的统计量的渐近分布为卡方分布,在此基础上构造了市场总体风险厌恶的置信区间.模拟结果表明,经验似然方法表现良好.
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| 关 键 词： | 风险厌恶 ARCH-M模型 经验似然 |
Empirical likelihood estimation for ARCH-M models |
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| SUN Yan,LI Yuan.Empirical likelihood estimation for ARCH-M models[J].Journal of Guangzhou University,2012(2):10-13. |
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| Authors: | SUN Yan LI Yuan |
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| Institution: | (School of Mathematics and Information Sciences,Guangzhou University,Guangzhou 510006,China) |
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| Abstract: | This paper deals with the metric of risk aversion.Test statistics are constructed by the empirical likelihood method.Under mild conditions,asymptotic x2 distributions of test statistics are obtained,based on which confidence regions for risk aversion are given.Simulations show that the empirical likelihood method behaves well. |
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| Keywords: | risk aversion ARCH-M models empirical likelihood |
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