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

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• 作者：Rasmus S&oslash ; ndergaard Pedersen ; ^{rsp@econ.ku.dk" class="auth_mail" title="E-mail the corresponding author}
• 关键词：C32 ; C51 ; C58
• 刊名：Journal of Econometrics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：196
• 期：1
• 页码：23-36
• 全文大小：690 K

文摘

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.