Gaussian inference on certain long-range dependent volatility models

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LARCH, leverage and long memory (2003, unknown): “On the other hand, considering for simplicity only the case Eζ 3 0 = 0, we have (cf. Zaffaroni (1998)) h t = 2ab t 1 + ∞ s=1 b t+s b s , t ≥ 1.”
Pseudo-maximum likelihood estimation of ARCH(∞) models (2005, background): “However, it has a number of disadvantages, as discussed by Giraitis and Robinson [14]: it is not only asymptotically inefficient under Gaussian εt, but never asymptotically efficient; it requires finiteness of fourth moments of yt for consistency and of eighth moments for asymptotic normality, which”