This paper investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE.s) of the GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional covariate is allowed to exhibit any degree of persistence as...

Asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for general ARCH(q) models - including for example Power ARCH and log-ARCH - are derived. Strong consistency is established under the assumptions that the ARCH process is geometrically ergodic, the conditional variance...

We propose a simulated maximum likelihood estimator for dynamic models based on non-parametric kernel methods. Our method is designed for models without latent dynamics from which one can simulate observations but cannot obtain a closed-form representation of the likelihood function. Using the...