Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062820 | Economics Letters | 2006 | 6 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jeff Fleming, Chris Kirby, Barbara Ostdiek,