Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models

DOI10.1016/j.jeconom.2020.05.006OpenAlexW2908278257MaRDI QIDQ2116337

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

zbMATH Keywords

bootstrapnuisance parametersARCH modelsinference on the boundary

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model ⋮ Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary ⋮ A residual bootstrap for conditional value-at-risk

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