【摘 要】
：
We propose a semi-parametric model with ARCH disturbances and a timevarying parameter in the mean to measure risk aversion.Our model is different from Chou
【机 构】
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GuangzhouUniversity
【出 处】
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IMS-China International Conference on Statistics and Probabi
论文部分内容阅读
We propose a semi-parametric model with ARCH disturbances and a timevarying 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, while it is a random walk in Chou et al.model.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.Finally we apply the proposed model to analyze Shanghai stock market to measure risk aversion.
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