Ling, Shiqing; Zhu, Ke - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-17
residuals from the estimated ARMA model, it is shown that the residual-based quasi-maximum likelihood estimator (QMLE) for the … when the GARCH process is observed. Using the SWLSE and residual-based QMLE as the initial estimators, the local QMLE for …