Inference and testing on the boundary in extended constant conditional correlation GARCH models
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Publication:341884
DOI10.1016/J.JECONOM.2016.09.004zbMATH Open1443.62282OpenAlexW3122290618MaRDI QIDQ341884FDOQ341884
Publication date: 17 November 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.econ.ku.dk/english/research/publications/wp/dp_2015/1510.pdf
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Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Constrained Statistical Inference
- Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions
- Testing When a Parameter is on the Boundary of the Maintained Hypothesis
- On the Distribution of the Likelihood Ratio
- A Score Test Against One-Sided Alternatives
- On the asymptotics of constrained \(M\)-estimation
- Estimation When a Parameter is on a Boundary
- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Title not available (Why is that?)
- Exogeneity
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- Volatility Spreads and Expected Stock Returns
- One-Sided Testing Problems in Multivariate Analysis
- On the asymptotics of constrained local \(M\)-estimators.
- 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
- QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
- Testing for volatility interactions in the Constant Conditional Correlation GARCH model
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
- On Tests Against One-Sided Hypotheses in Some Generalized Linear Models
- Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
- AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
Cited In (17)
- 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
- TESTING GARCH-X TYPE MODELS
- 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
- QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
- Estimation of multivariate asymmetric power GARCH models
- Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
- Dynamic conditional eigenvalue GARCH
- A note on portmanteau tests for conditional heteroscedastistic 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
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
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