Wang, Hui; Pan, Jiazhu - In: Statistics & Probability Letters 91 (2014) C, pp. 117-123
Although quasi maximum likelihood estimator based on Gaussian density (G-QMLE) is widely used to estimate GARCH-type models, it does not perform successfully when error distribution is either skewed or leptokurtic. This paper proposes normal mixture quasi-maximum likelihood estimator (NM-QMLE)...
