This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models. Consistent estimation and asymptotic normality as N and/or T grows large is established for a comprehensive specification which allows for serial correlation in the form of AR(1) for the...

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...