Kristensen, Dennis; Rahbek, Anders - In: Journal of Time Series Econometrics 1 (2009) 1, pp. 2-2
Asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for non-linear ARCH(q) models -- including for example Asymmetric Power ARCH and log-ARCH -- are derived. Strong consistency is established under the assumptions that the ARCH process is geometrically ergodic, the conditional...
