Francq, Christian; Zakoian, Jean-Michel - In: Stochastic Processes and their Applications 117 (2007) 9, pp. 1265-1284
The asymptotic distribution of the quasi-maximum likelihood (QML) estimator is established for generalized autoregressive conditional heteroskedastic (GARCH) processes, when the true parameter may have zero coefficients. This asymptotic distribution is the projection of a normal vector...
