Download This PaperBootstrap Tests of Multiple Inequality Restrictions on Variance Ratios
6 Pages Posted: 11 Feb 2005
There are 2 versions of this paper
Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios
Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios
Date Written: February 2005
Abstract
We develop a block bootstrap method for testing multiple inequality restrictions on variance ratios. The proposed test has reasonable size and power in the presence of strong persistence in conditional variances, making it well suited to applications in financial econometrics.
Keywords: Composite hypothesis, stationary bootstrap, least favorable configuration
JEL Classification: C12, C15
Suggested Citation: Suggested Citation
Do you want regular updates from SSRN on Twitter?
Recommended Papers
-
Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables
By Hipòlit Torró, Vicente Meneu, ...
-
Information, Trading and Volatility: Evidence from Weather-Sensitive Markets
By Jeff Fleming, Chris Kirby, ...
-
Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market
By Jacob Boudoukh, Matthew P. Richardson, ...
-
Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market
By Jacob Boudoukh, Matthew P. Richardson, ...
-
Do Asset Prices Reflect Fundamentals?
By Jacob Boudoukh, Yuqing Shen, ...
-
Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market
By Jacob Boudoukh, Matthew P. Richardson, ...
-
Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market
By Jacob Boudoukh, Matthew P. Richardson, ...