作者：Wong, H; Li, WK
作者单位：University of Hong Kong
摘要：Tsay (1987) developed the conditional heteroscedastic, autoregressive moving-average model, which includes the conditional heteroscedastic autoregressive and random coefficient autoregressive models as special cases. This paper establishes the multivariate conditional heteroscedastic autoregressive moving-average model, and considers its theoretical properties and applications. Maximum likelihood estimation of the model is discussed in detail. A representation of the information matrix is obta...
