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

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

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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

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