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A General Kronecker Formula for the Moments of the Multivariate Normal Distribution

Author

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  • Pietro BALESTRA
  • Alberto HOLLY

Abstract

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Suggested Citation

  • Pietro BALESTRA & Alberto HOLLY, 1990. "A General Kronecker Formula for the Moments of the Multivariate Normal Distribution," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 9002, Université de Lausanne, Faculté des HEC, DEEP.
  • Handle: RePEc:lau:crdeep:9002
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    Cited by:

    1. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009. "Asymmetric multivariate normal mixture GARCH," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2129-2154, April.
    2. Fiorentini, Gabriele & Sentana, Enrique, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
    3. Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
    4. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
    5. Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
    6. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    7. Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.

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    Keywords

    econometrics;

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