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

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  • Shuangzhe Liu
  • Chris Heyde
  • Wing-Keung Wong

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  • Shuangzhe Liu & Chris Heyde & Wing-Keung Wong, 2011. "Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models," Statistical Papers, Springer, vol. 52(3), pages 621-632, August.
    • Handle: RePEc:spr:stpapr:v:52:y:2011:i:3:p:621-632
    DOI: 10.1007/s00362-009-0272-2
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    1. Wong, Wing-Keung & Bian, Guorui, 2005. "Estimating parameters in autoregressive models with asymmetric innovations," Statistics & Probability Letters, Elsevier, vol. 71(1), pages 61-70, January.
    2. Mak, T. K. & Wong, H. & Li, W. K., 1997. "Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares," Computational Statistics & Data Analysis, Elsevier, vol. 24(2), pages 169-178, April.
    3. Bénédicte Vidaillet & V. d'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
    4. Spanos, Aris, 1994. "On Modeling Heteroskedasticity: The Student's t and Elliptical Linear Regression Models," Econometric Theory, Cambridge University Press, vol. 10(2), pages 286-315, June.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-280, April.
    7. McAleer, Michael, 2005. "Automated Inference And Learning In Modeling Financial Volatility," Econometric Theory, Cambridge University Press, vol. 21(1), pages 232-261, February.
    8. Fong, Wai Mun & Lean, Hooi Hooi & Wong, Wing Keung, 2008. "Stochastic dominance and behavior towards risk: The market for Internet stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 68(1), pages 194-208, October.
    9. Shuangzhe Liu & Chris Heyde, 2008. "On estimation in conditional heteroskedastic time series models under non-normal distributions," Statistical Papers, Springer, vol. 49(3), pages 455-469, July.
    10. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    11. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    12. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
    13. Liu, Shuangzhe & Neudecker, Heinz, 2009. "On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2556-2565.
    14. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420-420.
    15. N. H. Bingham & Rudiger Kiesel, 2002. "Semi-parametric modelling in finance: theoretical foundations," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 241-250.
    16. Mandelbrot, Benoit B, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices: Comment," Econometrica, Econometric Society, vol. 41(1), pages 157-159, January.
    17. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015. "Tests for sphericity in multivariate garch models," MPRA Paper 67411, University Library of Munich, Germany.
    2. Shun Matsuura & Hiroshi Kurata, 2014. "Principal points for an allometric extension model," Statistical Papers, Springer, vol. 55(3), pages 853-870, August.
    3. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.

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