Based on endogenous regime switching, threshold autoregressive models have proved useful for taking into account some important features such as asymmetric cycles in macroeconomic time-series. However, their probabilistic properties, such as stability, are still incompletely known. We develop a...

The asymptotic distribution of the quasi-maximum likelihood (QML) estimator is established for generalized autoregressive conditional heteroskedastic (GARCH) processes, when the true parameter may have zero coefficients. This asymptotic distribution is the projection of a normal vector...