Inference and testing on the boundary in extended constant conditional correlation GARCH models
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Cites work
- scientific article; zbMATH DE number 3441150 (Why is no real title available?)
- A Score Test Against One-Sided Alternatives
- AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
- Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions
- Asymptotic theory for a vector ARMA-GARCH model
- Constrained Statistical Inference
- Estimation When a Parameter is on a Boundary
- Exogeneity
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
- On Tests Against One-Sided Hypotheses in Some Generalized Linear Models
- On the Distribution of the Likelihood Ratio
- On the asymptotics of constrained \(M\)-estimation
- On the asymptotics of constrained local M-estimators.
- One-Sided Testing Problems in Multivariate Analysis
- QML estimation of a class of multivariate asymmetric GARCH models
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- Second-oder noncausality in multivariate GARCH processes
- Targeting estimation of CCC-GARCH models with infinite fourth moments
- Testing When a Parameter is on the Boundary of the Maintained Hypothesis
- Testing for volatility interactions in the Constant Conditional Correlation GARCH model
- Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
- Volatility spreads and expected stock returns
Cited in
(18)- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- Testing for volatility interactions in the Constant Conditional Correlation GARCH model
- The long memory HEAVY process: modeling and forecasting financial volatility
- Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis
- Estimation of multivariate asymmetric power GARCH models
- Robust score and portmanteau tests of volatility spillover
- Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
- A note on portmanteau tests for conditional heteroscedastistic models
- Dynamic conditional eigenvalue GARCH
- Testing GARCH-X type models
- A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
- Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
- QML inference for volatility models with covariates
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
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