As an alternative to quasi-maximum likelihood, targeting estimation is a much applied estimation method for univariate and multivariate GARCH models. In terms of variance targeting estimation recent research has pointed out that at least finite fourth-order moments of the data generating process...

Consistency and asymptotic normality are established for the maximum likelihood estimators in the nonstationary ARCH and GARCH models with general t-distributed innovations. The results hold for joint estimation of (G)ARCH effects and the degrees of freedom parameter parametrizing the...

This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...