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Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models

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Liu, Shuangzhe; Heyde, C C; Wong, Wing-Keung

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It is well known that moment matrices play a very important rôle in econometrics and statistics. Liu and Heyde (Stat Pap 49:455-469, 2008) give exact expressions for two-moment matrices, including the Hessian for ARCH models under elliptical distribution

dc.contributor.authorLiu, Shuangzhe
dc.contributor.authorHeyde, C C
dc.contributor.authorWong, Wing-Keung
dc.date.accessioned2015-12-10T23:36:41Z
dc.identifier.issn0932-5026
dc.identifier.urihttp://hdl.handle.net/1885/70248
dc.description.abstractIt is well known that moment matrices play a very important rôle in econometrics and statistics. Liu and Heyde (Stat Pap 49:455-469, 2008) give exact expressions for two-moment matrices, including the Hessian for ARCH models under elliptical distribution
dc.publisherSpringer
dc.sourceStatistical Papers
dc.subjectKeywords: AR-ARCH model; BHHH method; Heteroskedasticity; Likelihood; Newton-Raphson method; Scoring method
dc.titleMoment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume52
dc.date.issued2011
local.identifier.absfor010406 - Stochastic Analysis and Modelling
local.identifier.ariespublicationf2965xPUB2267
local.type.statusPublished Version
local.contributor.affiliationLiu, Shuangzhe, University of Canberra
local.contributor.affiliationHeyde, C C, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationWong, Wing-Keung, Hong Kong Baptist University
local.description.embargo2037-12-31
local.bibliographicCitation.issue3
local.bibliographicCitation.startpage621
local.bibliographicCitation.lastpage632
local.identifier.doi10.1007/s00362-009-0272-2
local.identifier.absseo970101 - Expanding Knowledge in the Mathematical Sciences
dc.date.updated2016-02-24T08:24:04Z
local.identifier.scopusID2-s2.0-79960611615
CollectionsANU Research Publications

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