Statements (18)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:application |
asset returns
risk premium estimation |
| gptkbp:citation |
Engle, R. F., Lilien, D. M., & Robins, R. P. (1987). Estimating time varying risk premia in the term structure: The ARCH-M model. Econometrica, 55(2), 391-407.
|
| gptkbp:developedBy |
gptkb:Robert_F._Engle
|
| gptkbp:extendsTo |
gptkb:ARCH_model
|
| gptkbp:features |
conditional variance enters the mean equation
|
| gptkbp:field |
finance
econometrics |
| gptkbp:fullName |
Autoregressive Conditional Heteroskedasticity in Mean model
|
| https://www.w3.org/2000/01/rdf-schema#label |
ARCH-M model
|
| gptkbp:introducedIn |
1987
|
| gptkbp:publishedIn |
gptkb:Econometrica
|
| gptkbp:relatedTo |
gptkb:GARCH_model
|
| gptkbp:usedFor |
volatility modeling
modeling time series data |
| gptkbp:bfsParent |
gptkb:ARCH_model
|
| gptkbp:bfsLayer |
6
|