Multivariate elliptically contoured autoregressive process


  • Taras Bodnar Humboldt-University of Berlin, Berlin
  • Arjun K. Gupta Bowling Green State University, Ohio



multivariate autoregressive process, elliptically contoured distribution, Stein-Haff


In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link between the conditional time varying behavior of the covariance matrix of the returns and the time variability of the investor’s coefficient of risk aversion. Moreover, it is shown that the non-diagonal elements of the dispersion matrix are slowly varying in time.


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How to Cite

Bodnar, T., & Gupta, A. K. (2013). Multivariate elliptically contoured autoregressive process. Statistica, 73(3), 303–316.