In this article consistency and asymptotic normality of the quasi-maximum likelihood esti- mator (QMLE) in the class of … introduced by (Duan, 1997) which contains many commonly employed GARCH models as special cases. The conditions for consistency … normality ; consistency ; polynomial augmented GARCH models ; quasi-maximum likelihood estimation …

We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …

. We derive considerably weaker conditions that can be used in practice to ensure the consistency of the maximum likelihood … estimator for a wide class of observation-driven time series models. Our consistency results hold for both correctly specified …

robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …

In this article, consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) in the class of … GARCH models as special cases. The results are obtained under mild conditions. -- Asymptotic normality ; consistency …