Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models
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Publication:641782
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
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
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Cites Work
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