Zhang, X., Wong, H., Li, Y. and Ip, W. (2011) A Class of Threshold Autoregressive Conditional Heteroscedastic Models. Statistics and Its Interface, 4, 149-158.
http://dx.doi.org/10.4310/SII.2011.v4.n2.a10

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.