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A tour in the asymptotic theory of GARCH estimation

Christian Francq and Jean-Michel Zakoļan
Abstract: The main estimation methods of the univariate GARCH models are reviewed. A special attention is given to the asymptotic results and the quasi-maximum likelihood method.
RePEc RePEc working paper
Handbook Handbook of Financial Time Series Edts: T. G. Andersen, R.A. Davis, J-P. Kreiss, T. Mikosch. Springer Statistics 2009.