Mukherjee, Kanchan - In: Econometric Theory 24 (2008) 06, pp. 1530-1553
This paper derives asymptotic normality of a class of <italic>M</italic>-estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator. For...