This note proves the consistency and asymptotic normality of the quasi–maximum likelihood estimator (QMLE) of the parameters of a generalized autoregressive conditional heteroskedastic (GARCH) model with martingale difference centered squared innovations. The results are obtained under mild...

This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on the Bartlett <italic>T</italic>-process with estimated parameters whose limiting distribution under the null depends on the estimated model and the estimation method employed....