type="main" xml:id="jtsa12063-abs-0001" <title type="main">Abstract</title>Consider an infinite dimensional vector linear process. Under suitable assumptions on the parameter space, we provide consistent estimators of the autocovariance matrices. In particular, under causality, this includes the infinite-dimensional...

A standard assumption while deriving the asymptotic distribution of the quasi maximum likelihood estimator in ARCH models is that all ARCH parameters must be strictly positive. This assumption is also crucial in deriving the limit distribution of appropriate linear estimators (LE). We propose a...

This paper discusses the asymptotics of two-stage least squares estimator of the parameters of ARCH models. The estimator is easy to obtain since it involves solving two sets of linear equations. At the same time, the estimator has the same asymptotic efficiency as that of the widely used...