We provide simulation and theoretical results concerning the finite-sample theory of quasi-maximum-likelihood estimators in autoregressive conditional heteroskedastic (ARCH) models when we include dynamics in the mean equation. In the setting of the AR(q)-ARCH(p), we find that in some cases bias...

We provide three new results concerning quasi-maximum likelihood (QML) estimators in generalized autoregressive conditional heteroskedastic in mean (GARCH-M) models. We first show that, depending on the functional form that we impose in the mean equation, the properties of the model may change...