Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models
dc.contributor.author | Liu, Shuangzhe | |
dc.contributor.author | Heyde, C C | |
dc.contributor.author | Wong, Wing-Keung | |
dc.date.accessioned | 2015-12-10T23:36:41Z | |
dc.date.issued | 2011 | |
dc.date.updated | 2016-02-24T08:24:04Z | |
dc.description.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 | |
dc.identifier.issn | 0932-5026 | |
dc.identifier.uri | http://hdl.handle.net/1885/70248 | |
dc.publisher | Springer | |
dc.source | Statistical Papers | |
dc.subject | Keywords: AR-ARCH model; BHHH method; Heteroskedasticity; Likelihood; Newton-Raphson method; Scoring method | |
dc.title | Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models | |
dc.type | Journal article | |
local.bibliographicCitation.issue | 3 | |
local.bibliographicCitation.lastpage | 632 | |
local.bibliographicCitation.startpage | 621 | |
local.contributor.affiliation | Liu, Shuangzhe, University of Canberra | |
local.contributor.affiliation | Heyde, C C, College of Physical and Mathematical Sciences, ANU | |
local.contributor.affiliation | Wong, Wing-Keung, Hong Kong Baptist University | |
local.contributor.authoremail | repository.admin@anu.edu.au | |
local.contributor.authoruid | Heyde, C C, u8606978 | |
local.description.embargo | 2037-12-31 | |
local.description.notes | Imported from ARIES | |
local.identifier.absfor | 010406 - Stochastic Analysis and Modelling | |
local.identifier.absseo | 970101 - Expanding Knowledge in the Mathematical Sciences | |
local.identifier.ariespublication | f2965xPUB2267 | |
local.identifier.citationvolume | 52 | |
local.identifier.doi | 10.1007/s00362-009-0272-2 | |
local.identifier.scopusID | 2-s2.0-79960611615 | |
local.identifier.uidSubmittedBy | f2965 | |
local.type.status | Published Version |
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