The efficiency of the estimators of the parameters in GARCH processes, Ann. Statist, vol.32, issue.2, pp.633-655, 2004. ,
GARCH processes: structure and estimation, Bernoulli, vol.9, issue.2, pp.201-227, 2003. ,
DOI : 10.3150/bj/1068128975
Convergence of Probability Measures, 1968. ,
DOI : 10.1002/9780470316962
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model, The Review of Economics and Statistics, vol.72, issue.3, pp.498-505, 1990. ,
DOI : 10.2307/2109358
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews, vol.6, issue.2, pp.143-172, 1992. ,
DOI : 10.1017/S0266466600004898
Kalman Filtering with Random Coefficients and Contractions, SIAM Journal on Control and Optimization, vol.31, issue.4, pp.942-959, 1993. ,
DOI : 10.1137/0331041
Asymptotic theory for multivariate GARCH processes, Journal of Multivariate Analysis, vol.84, issue.1, pp.61-84, 2003. ,
DOI : 10.1016/S0047-259X(02)00009-X
URL : https://hal.archives-ouvertes.fr/hal-00170769
A long memory property of stock market returns and a new model, Journal of Empirical Finance, vol.1, issue.1, pp.83-106, 1993. ,
DOI : 10.1016/0927-5398(93)90006-D
A LARCH(???) Vector Valued Process, Dependence in Probability and Statistics, pp.245-258, 2006. ,
DOI : 10.1007/0-387-36062-X_11
URL : https://hal.archives-ouvertes.fr/hal-00141714
Weakly dependent chains with infinite memory, Stochastic Processes and their Applications, vol.118, issue.11 ,
DOI : 10.1016/j.spa.2007.12.004
URL : https://hal.archives-ouvertes.fr/hal-00199890
Vector linear time series models, Advances in Applied Probability, vol.35, issue.02, pp.339-364, 1976. ,
DOI : 10.1093/biomet/60.2.217
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, vol.50, issue.4, pp.987-1007, 1982. ,
DOI : 10.2307/1912773
Multivariate Simultaneous Generalized ARCH, Econometric Theory, vol.10, issue.01, pp.122-150, 1995. ,
DOI : 10.2307/1911990
An Introduction to Probability Theory and its Applications, 1966. ,
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes, Bernoulli, vol.10, issue.4, pp.605-637, 2004. ,
DOI : 10.3150/bj/1093265632
STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL
LIMIT THEOREM, Econometric Theory, vol.16, issue.01, p.322, 2000. ,
DOI : 10.1017/S0266466600161018
LARCH, Leverage, and Long Memory, Journal of Financial Econometrics, vol.2, issue.2, pp.177-210, 2004. ,
DOI : 10.1093/jjfinec/nbh008
Recent Advances in ARCH Modelling, In Long-Memory in Economics, pp.3-38, 2006. ,
DOI : 10.1007/978-3-540-34625-8_1
STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS, Econometric Theory, vol.14, issue.01, pp.70-86, 1998. ,
DOI : 10.1017/S0266466698141038
Ergodic Theorems, Gruyter Studies in Mathematics, vol.6, 1985. ,
DOI : 10.1515/9783110844641
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL, Econometric Theory, vol.3, issue.02, pp.280-310, 2003. ,
DOI : 10.2307/2965585
Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models, Journal of the American Statistical Association, vol.5, issue.429, pp.282-291, 1995. ,
DOI : 10.2307/2347692
Threshold arch models and asymmetries in volatility, Journal of Applied Econometrics, vol.19, issue.1, pp.31-49, 1993. ,
DOI : 10.1002/jae.3950080104
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression, Journal of Econometrics, vol.47, issue.1, pp.67-84, 1991. ,
DOI : 10.1016/0304-4076(91)90078-R
Pseudo-maximum likelihood estimation of ARCH(???) models, The Annals of Statistics, vol.34, issue.3, pp.1049-1074, 2006. ,
DOI : 10.1214/009053606000000245
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach, The Annals of Statistics, vol.34, issue.5, 2006. ,
DOI : 10.1214/009053606000000803