We introduce the class of Student t-mixture autoregressive models, which is promising for financial time series modelling. The model is able to capture serial correlations, time-varying means and volatilities, and the shape of the conditional distributions can be time varied from short-tailed to...

Moments of generalized Wishart distributions are obtained through tensor differential forms and reindexing.

For a left elliptically contoured n - p random matrix Y LECn - p([mu], K, [phi]), the mth order moment E([circle times operator]mY) is obtained in terms of [mu], K, and [phi]. When K = B [circle times operator] C, LECn - p([mu], K, [phi]) is the conventional multivariate left elliptically...