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Christensen, B.J., Dahl, C.M. and Iglesias, E.M. (2012) Semiparametric Inference in a GARCH-in-Mean Model. Journal of Econometrics, 167, 458-472.
http://dx.doi.org/10.1016/j.jeconom.2011.09.028

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.