Han, Heejoon; Kristensen, Dennis - In: Journal of Business & Economic Statistics 32 (2014) 3, pp. 416-429
This article investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE's) of the GARCH model augmented by including an additional explanatory variable-the so-called GARCH-X model. The additional covariate is allowed to exhibit any degree of persistence as...