Advanced search
Publication Cover
Communications in Statistics - Theory and Methods Volume 42, 2013 - Issue 10
Submit an article Journal homepage
212
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

An Alternative GARCH-in-Mean Model: Structure and Estimation

Xingfa Zhang Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong KongCorrespondence[email protected]
,
Heung Wong Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong
,
Yuan Li School of Mathematics and Information Science, Guangzhou University, Guangzhou, China
&
Wai-Cheung Ip Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong
Pages 1821-1838 | Received 16 Sep 2010, Accepted 14 Jun 2011, Published online: 11 Apr 2013

Citations (5)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

Emmanuel Alphonsus Akpan, Kazeem Etitayo Lasisi, Imoh Udo Moffat & Ubon Akpan Abasiekwere. (2023) Appraisal of excess Kurtosis through outlier-modified GARCH-type models. Communications in Statistics - Simulation and Computation 52:4, pages 1523-1537.
Read now
Xingfa Zhang, Heung Wong & Yuan Li. (2016) A functional coefficient GARCH-M model. Communications in Statistics - Theory and Methods 45:13, pages 3807-3821.
Read now

Articles from other publishers (3)

Xuanling Yang & Dong Li. (2022) Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model. Journal of Time Series Analysis 43:6, pages 938-963.
Crossref
Huafeng Zhu, Xingfa Zhang, Xin Liang & Yuan Li. (2018) Moving Average Model with an Alternative GARCH-Type Error. Journal of Systems Science and Information 6:2, pages 165-177.
Crossref
ZeFang Song, XingFa Zhang, Yuan Li & Qiang Xiong. (2016) A linear varying coefficient ARCH-M model with a latent variable. Science China Mathematics 59:9, pages 1795-1814.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.