Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
DOI10.1016/J.JECONOM.2020.05.006OpenAlexW2908278257MaRDI QIDQ2116337FDOQ2116337
Heino Bohn Nielsen, Giuseppe Cavaliere, Anders Rahbek, Rasmus Søndergaard Pedersen
Publication date: 16 March 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.economics.ku.dk/research/publications/wp/dp_2018/papers/1810.pdf
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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Cited In (8)
- Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
- Likelihood asymptotics in nonregular settings: a review with emphasis on the likelihood ratio
- Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
- Small sample adjustment for hypotheses testing on cointegrating vectors
- A residual bootstrap for conditional value-at-risk
- Conditional sum of squares estimation of \(k\)-factor GARMA models
- Inference on GARCH-MIDAS models without any small-order moment
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