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

Shuangzhe Liu (), Chris Heyde and Wing-Keung Wong

Statistical Papers, 2011, vol. 52, issue 3, 632 pages

Keywords: Heteroskedasticity; Likelihood; BHHH method; Newton–Raphson method; Scoring method; AR-ARCH model (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s00362-009-0272-2

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