Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

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Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA–GARCH/IGARCH models (2011, methodology): “The local LAD estimator was studied by Peng and Yao (2003) and Li and Li (2005) for the pure GARCH model, Chan and Peng (2005) for the double AR(1) model, and Li and Li (2008) for the ARFIMA–GARCH model.”
TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS (2010, methodology): “Note that Ling and Li (1997) and Li and Li (2008) have studied the BP type tests for FARIMA-GARCH models assuming a parametric form for the GARCH model.”
LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises (2015, methodology): “Li and Li (2008) considered two LADE-based portmanteau tests, which are only applicable when εt follows a GARCH model with Eε2t ∞.”