  We prove the consistency and asymptotic normality of the Laplacian
Quasi-Maximum Likelihood Estimator (QMLE) for a general class of causal time
series including ARMA, AR($\infty$), GARCH, ARCH($\infty$), ARMA-GARCH, APARCH,
ARMA-APARCH,..., processes. We notably exhibit the advantages (moment order and
robustness) of this estimator compared to the classical Gaussian QMLE.
Numerical simulations confirms the accuracy of this estimator.
