Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

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Optimal predictions of powers of conditionally heteroscedastic processes (2013, methodology): “Fan et al. (2010) and Francq et al. (2011) proposed two-stage procedures based on non-Gaussian QMLEs for estimating standard GARCH models under the standard identifiability condition.”
Risk-parameter estimation in volatility models (2012, unknown): “Francq and J-M. Zakoïan/Risk-parameter estimation 4 In the framework of this paper, the condition r(η∗ t ) = 1 is not necessarily a moment condition. We propose a QML approach based on non-Gaussian densities depending on the risk function r. A case of particular importance is the VaR at a given leve”