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

Liu, ShuangzheHeyde, C CWong, Wing-Keung2015-12-100932-5026http://hdl.handle.net/1885/70248It 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 distributionKeywords: AR-ARCH model; BHHH method; Heteroskedasticity; Likelihood; Newton-Raphson method; Scoring methodMoment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models201110.1007/s00362-009-0272-22016-02-24