Hodgson, Douglas J; Vorkink, Keith P - In: Journal of Business & Economic Statistics 21 (2003) 2, pp. 269-83
A semiparametric efficient estimation procedure is developed for the parameters of multivariate generalized autoregressive conditional heteroscedasticity-in-mean models when the disturbances have a conditional distribution assumed to be elliptically symmetric but otherwise unrestricted. Under...