{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,6]],"date-time":"2026-10-06T01:57:50Z","timestamp":1791251870031,"version":"4.1.0"},"reference-count":27,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2009,4,1]],"date-time":"2009-04-01T00:00:00Z","timestamp":1238544000000},"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":[[2009,4]]},"abstract":"<jats:p>This note proves the consistency and asymptotic normality of the quasi\u2013maximum likelihood estimator (QMLE) of the parameters of a generalized autoregressive conditional heteroskedastic (GARCH) model with martingale difference centered squared innovations. The results are obtained under mild conditions and generalize and improve those in Lee and Hansen (1994,<jats:italic>Econometric Theory<\/jats:italic>10, 29\u201352) for the local QMLE in semistrong GARCH(1,1) models. In particular, no restrictions on the conditional mean are imposed. Our proofs closely follow those in Francq and Zako\u00efan (2004,<jats:italic>Bernoulli<\/jats:italic>10, 605\u2013637) for independent and identically distributed innovations.<\/jats:p>","DOI":"10.1017\/s0266466609090689","type":"journal-article","created":{"date-parts":[[2009,3,3]],"date-time":"2009-03-03T09:22:14Z","timestamp":1236072134000},"page":"561-570","source":"Crossref","is-referenced-by-count":40,"title":["QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS"],"prefix":"10.1017","volume":"25","author":[{"given":"Juan Carlos","family":"Escanciano","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,4,1]]},"reference":[{"key":"S0266466609090689_ref26","volume-title":"Estimation in Conditionally Heteroscedastic Time Series Models","author":"Straumann","year":"2005"},{"key":"S0266466609090689_ref25","doi-asserted-by":"publisher","DOI":"10.1214\/009053606000000245"},{"key":"S0266466609090689_ref24","doi-asserted-by":"crossref","unstructured":"Premaratne G. & Bera A.K. (2001) Modeling Asymmetry and Excess Kurtosis in Stock Return Data. 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