Inference and testing on the boundary in extended constant conditional correlation GARCH models

Rasmus Pedersen ()

Journal of Econometrics, 2017, vol. 196, issue 1, 23-36

Abstract: 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.

Keywords: ECCC-GARCH; QML; Boundary; Spillovers (search for similar items in EconPapers)
JEL-codes: C32 C51 C58 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Working Paper: Inference and testing on the boundary in extended constant conditional correlation GARCH models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:196:y:2017:i:1:p:23-36

DOI: 10.1016/j.jeconom.2016.09.004

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