Inference and testing on the boundary in extended constant conditional correlation GARCH models
Research output: Contribution to journal › Journal article › Research › peer-review
Standard
Inference and testing on the boundary in extended constant conditional correlation GARCH models. / Pedersen, Rasmus Søndergaard.
In: Journal of Econometrics, Vol. 196, No. 1, 01.01.2017, p. 25-36.Research output: Contribution to journal › Journal article › Research › peer-review
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - JOUR
T1 - Inference and testing on the boundary in extended constant conditional correlation GARCH models
AU - Pedersen, Rasmus Søndergaard
PY - 2017/1/1
Y1 - 2017/1/1
N2 - We consider inference and testing in extended constant conditional correlation GARCH models in the case where the true parameter vector is a boundary point of the parameter space. This is of particular importance when testing for volatility spillovers in the model. The large-sample properties of the QMLE are derived together with the limiting distributions of the related LR, Wald, and score statistics. Due to the boundary problem, these large-sample properties become nonstandard. The size and power properties of the tests are investigated in a simulation study. As an empirical illustration we test for (no) volatility spillovers between foreign exchange rates.
AB - We consider inference and testing in extended constant conditional correlation GARCH models in the case where the true parameter vector is a boundary point of the parameter space. This is of particular importance when testing for volatility spillovers in the model. The large-sample properties of the QMLE are derived together with the limiting distributions of the related LR, Wald, and score statistics. Due to the boundary problem, these large-sample properties become nonstandard. The size and power properties of the tests are investigated in a simulation study. As an empirical illustration we test for (no) volatility spillovers between foreign exchange rates.
KW - Boundary
KW - ECCC-GARCH
KW - QML
KW - Spillovers
KW - C32
KW - C51
KW - C58
U2 - 10.1016/j.jeconom.2016.09.004
DO - 10.1016/j.jeconom.2016.09.004
M3 - Journal article
AN - SCOPUS:84992481921
VL - 196
SP - 25
EP - 36
JO - Journal of Econometrics
JF - Journal of Econometrics
SN - 0304-4076
IS - 1
ER -
ID: 186156997