Peng, Liang - In: Biometrika 90 (2003) 4, pp. 967-975
Hall & Yao (2003) showed that, for ARCH/GARCH, i.e. autoregressive conditional heteroscedastic/generalised autoregressive conditional heteroscedastic, models with heavy-tailed errors, the conventional maximum quasilikelihood estimator suffers from complex limit distributions and slow convergence...