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

DOI10.1007/s00362-009-0272-2zbMath1234.62121OpenAlexW2091722363MaRDI QIDQ641782

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

Publication date: 25 October 2011

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-009-0272-2

zbMATH Keywords

likelihoodNewton-Raphson methodBHHH methodscoring method

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Diagnostics in elliptical regression models with stochastic restrictions applied to econometrics ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Principal points for an allometric extension model

Uses Software

• FinTS
• QRM

Cites Work

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