Liu, Shuangzhe; Neudecker, Heinz - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2556-2565
We consider a general multivariate conditional heteroskedastic model under a conditional distribution that is not necessarily normal. This model contains autoregressive conditional heteroskedastic (ARCH) models as a special class. We use the pseudo maximum likelihood estimation method and derive...