Fan, Jianqing; Qi, Lei; Xiu, Dacheng - In: Journal of Business & Economic Statistics 32 (2014) 2, pp. 178-191
The non-Gaussian maximum likelihood estimator is frequently used in GARCH models with the intention of capturing heavy-tailed returns. However, unless the parametric likelihood family contains the true likelihood, the estimator is inconsistent due to density misspecification. To correct this...