Before revision:  The paper provides asymptotic theory for sample analogues of the above measures in the case of general time series, including GARCH-type processes. It further develops new approaches to robust inference on them in the case of general  GARCH-type processes exhibiting heavy-tailedness properties .
After revision:  We further provide new approaches to robust inference on them in the case of general GARCH-type processes exhibiting heavy-tailedness properties .