{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,8]],"date-time":"2026-02-08T17:54:53Z","timestamp":1770573293466,"version":"3.49.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2000,10,5]],"date-time":"2000-10-05T00:00:00Z","timestamp":970704000000},"content-version":"unspecified","delay-in-days":4,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2000,10]]},"abstract":"<jats:p>The classical definitions of GARCH-type processes \nrely on strong assumptions on the first two conditional \nmoments. The common practice in empirical studies, however, \nhas been to test for GARCH by detecting serial correlations \nin the squared regression errors. This can be problematic \nbecause such autocorrelation structures are compatible \nwith severe misspecifications of the standard GARCH. Numerous \nexamples are provided in the paper. In consequence, standard \n(quasi-) maximum likelihood procedures can be inconsistent \nif the conditional first two moments are misspecified. \nTo alleviate these problems of possible misspecification, \nwe consider weak GARCH representations characterized by \nan ARMA structure for the squared error terms. The weak \nGARCH representation eliminates the need for correct specification \nof the first two conditional moments. The parameters of \nthe representation are estimated via two-stage least squares. \nThe estimator is shown to be consistent and asymptotically \nnormal. Forecasting issues are also addressed.<\/jats:p>","DOI":"10.1017\/s0266466600165041","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"692-728","source":"Crossref","is-referenced-by-count":37,"title":["ESTIMATING WEAK GARCH REPRESENTATIONS"],"prefix":"10.1017","volume":"16","author":[{"given":"Christian","family":"Francq","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jean-Michel","family":"Zako\u00efan","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2000,10,5]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600165041","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,8]],"date-time":"2019-05-08T20:13:31Z","timestamp":1557346411000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600165041\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,10]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2000,10]]}},"alternative-id":["S0266466600165041"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600165041","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,10]]}}}