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

Date

2011

Authors

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

Journal Title

Journal ISSN

Volume Title

Publisher

Springer

Abstract

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

Description

Keywords

Keywords: AR-ARCH model; BHHH method; Heteroskedasticity; Likelihood; Newton-Raphson method; Scoring method

Citation

Source

Statistical Papers

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1007/s00362-009-0272-2

Restricted until

2037-12-31