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

Research output: Contribution to journalJournal article

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.

Original languageEnglish
JournalJournal of Econometrics
Volume196
Issue number1
Pages (from-to)25-36
Number of pages12
ISSN0304-4076
DOIs
Publication statusPublished - 1 Jan 2017

    Research areas

  • Boundary, ECCC-GARCH, QML, Spillovers, C32, C51, C58

ID: 186156997