Bootstrap tests of multiple inequality restrictions on variance ratios

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. D 2005 Elsevier B.V. All rights reserved.

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Cite this paper

@inproceedings{Fleming2006BootstrapTO, title={Bootstrap tests of multiple inequality restrictions on variance ratios}, author={Jeff Fleming and Chris W Kirby and Barbara Ostdiek and John E Walker}, year={2006} }