Bose, Arup; Mukherjee, Kanchan - In: Journal of Time Series Analysis 24 (2003) 2, pp. 127-136
This paper discusses the asymptotics of two-stage least squares estimator of the parameters of ARCH models. The estimator is easy to obtain since it involves solving two sets of linear equations. At the same time, the estimator has the same asymptotic efficiency as that of the widely used...