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
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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
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Keywords: AR-ARCH model; BHHH method; Heteroskedasticity; Likelihood; Newton-Raphson method; Scoring method
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Statistical Papers
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Journal article
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2037-12-31
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