In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then current modelling approaches will lead to an over-estimation...

Newey, Steigerwald (1997) considered a univariate conditionally heteroscedastic model, with independent and identically distributed errors. They showed that the parameters characterizing the serial dependence are consistently estimated by any pseudo maximum likelihood approach, whenever two...

In a transformation model $\by_t = c [\ba(\bx_t,\bbeta), \bu_t]$, where the errors $\bu_t$ are i.i.d and independent of the explanatory variables $\bx_t$, the parameters can be estimated by a pseudo-maximum likelihood (PML) method, that is, by using a misspecified distribution of the errors, but...