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

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


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

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Statistical Papers
DOI: 10.1007/s00362-009-0272-2


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