{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T05:16:19Z","timestamp":1792818979922,"version":"4.5.0"},"reference-count":25,"publisher":"Cambridge University Press (CUP)","issue":"6","license":[{"start":{"date-parts":[[2008,7,9]],"date-time":"2008-07-09T00:00:00Z","timestamp":1215561600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2008,12]]},"abstract":"<jats:p>This paper derives asymptotic normality of a class of<jats:italic>M<\/jats:italic>-estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator. For some estimators, the asymptotic normality results are obtained only under the existence of fractional unconditional moment assumption on the error distribution and some mild smoothness and moment assumptions on the score function.<\/jats:p>","DOI":"10.1017\/s0266466608080602","type":"journal-article","created":{"date-parts":[[2008,7,9]],"date-time":"2008-07-09T08:34:15Z","timestamp":1215592455000},"page":"1530-1553","source":"Crossref","is-referenced-by-count":23,"title":["<i>M<\/i>-ESTIMATION IN GARCH MODELS"],"prefix":"10.1017","volume":"24","author":[{"given":"Kanchan","family":"Mukherjee","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2008,7,9]]},"reference":[{"key":"S0266466608080602_ref009","volume-title":"Martingale Limit Theory and Its Applications","author":"Hall","year":"1980"},{"key":"S0266466608080602_ref008","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600161018"},{"key":"S0266466608080602_ref006","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"S0266466608080602_ref005","doi-asserted-by":"publisher","DOI":"10.1016\/S0047-259X(02)00009-X"},{"key":"S0266466608080602_ref003","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"S0266466608080602_ref017","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-9473(96)00060-6"},{"key":"S0266466608080602_ref007","doi-asserted-by":"crossref","first-page":"345","DOI":"10.1080\/07350015.1991.10509863","article-title":"Semiparametric ARCH models","volume":"9","author":"Engle","year":"1991","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466608080602_ref016","doi-asserted-by":"publisher","DOI":"10.2307\/2171862"},{"key":"S0266466608080602_ref004","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90067-2"},{"key":"S0266466608080602_ref001","doi-asserted-by":"crossref","first-page":"633","DOI":"10.1214\/009053604000000120","article-title":"The efficiency of the estimators of the parameters in GARCH processes","volume":"32","author":"Berkes","year":"2004","journal-title":"Annals of Statistics"},{"key":"S0266466608080602_ref019","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"S0266466608080602_ref010","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00396"},{"key":"S0266466608080602_ref011","unstructured":"Iqbal F. & Mukherjee K. 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