Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models
| Year of publication: |
2011
|
|---|---|
| Authors: | Liu, Shuangzhe ; Heyde, Chris ; Wong, Wing-Keung |
| Published in: |
Statistical Papers. - Springer. - Vol. 52.2011, 3, p. 621-632
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| Publisher: |
Springer |
| Subject: | Heteroskedasticity | Likelihood | BHHH method | Newton–Raphson method | Scoring method | AR-ARCH model |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009324990