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Engle, E.F., Lilien, D.M. and Robins, R.P. (1987) Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model. Econometrica, 55, 391-407.
http://dx.doi.org/10.2307/1913242

has been cited by the following article:

• TITLE: An Alternative Estimation for Functional Coefficient ARCH-M Model

  AUTHORS: Xingfa Zhang, Qiang Xiong

  KEYWORDS: Functional Coefficient, ARCH-M Model, Consistency, Risk Aversion

  JOURNAL NAME: Theoretical Economics Letters, Vol.6 No.4, July 28, 2016

  ABSTRACT: This article provides an alternative approach to estimate the functional coefficient ARCH-M model given by Zhang, Wong and Li (2016) [1]. The new method has improvement in both computational and theoretical parts. It is found that the computation cost is saved and certain convergence rate for parameter estimation has been obtained.