http://eprints.hkbu.edu.hk/ This document is the authors’ final version of the following published article: Liu Shuangzhe, Heyde Chris, Wong, Wing-Keung, Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models. Statistical Papers, ISSN: 0932-5026, Volume: 52, Issue: 3, p. 621-632, DOI: 10.1007/s00362-009-0272-2. Link to published article: http://dx.doi.org/10.1007/s00362-009-0272-2