Measuring Risk Aversion by the Varying Coefficient ARCH-M Model
We propose a semi-parametric model with ARCH disturbances and a time-varying parameter in the mean to measure risk aversion. Our model is different from Chou et al. (1992) model in that the time-varying price of volatility is a nonparametric function depending on some macroeconomic factors such as interest rates. 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, and the simulation shows that our method performs well.
risk aversion ARCH model semi-parametric model
XIONG Jian ZHANG Xlngfa
College of Applied Sciences, Beijing University of Technology, P.R.China, 100124 School of Mathemati School of Mathematics and Information Science, Guangzhou University, P.R.China, 510006
国际会议
威海
英文
479-483
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）