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

Rasmus Pedersen ()

No 15-10, Discussion Papers from University of Copenhagen. Department of Economics

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 LM 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)
Pages: 43 pages
Date: 2015-09-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Inference and testing on the boundary in extended constant conditional correlation GARCH models (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:1510

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