Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models
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Altmetric Citations
Liu, Shuangzhe; Heyde, C C; Wong, Wing-Keung
Description
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
| Collections | ANU Research Publications |
|---|---|
| Date published: | 2011 |
| Type: | Journal article |
| URI: | http://hdl.handle.net/1885/70248 |
| Source: | Statistical Papers |
| DOI: | 10.1007/s00362-009-0272-2 |
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| File | Description | Size | Format | Image |
|---|---|---|---|---|
| 01_Liu_Moment_matrices_in_conditional_2011.pdf | 180.16 kB | Adobe PDF | Request a copy |
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