Title of article
Bootstrap tests of multiple inequality restrictions on variance ratios
Author/Authors
Jeff Fleming، نويسنده , , Chris Kirby، نويسنده , , Barbara Ostdiek، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
6
From page
343
To page
348
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
Journal title
Economics Letters
Serial Year
2006
Journal title
Economics Letters
Record number
435941
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