Inference and testing on the boundary in extended constant conditional correlation GARCH models
Research output: Contribution to journal › Journal article › peer-review
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.
|Journal||Journal of Econometrics|
|Number of pages||12|
|Publication status||Published - 1 Jan 2017|
- Boundary, ECCC-GARCH, QML, Spillovers, C32, C51, C58