F orecasting the volatility of a financial asset has wide implications in finance. Conditional variance extracted from the GARCH framework could be a suitable proxy of financial asset volatility. Option pricing, portfolio optimization, and risk management are examples of implications of conditional variance forecasting. One of the most recent methods of volatility forecasting is Real...

We propose non-nested tests for competing conditional moment resctriction models using a method of empirical likelihood. Our tests are based on the method of conditional empirical likelihood developed by Kitamura, Tripathi and Ahn (2004) and Zhang and Gijbels (2003). By using the conditional implied probabilities, we develop three non-nested tests: the moment encompassing, Cox-type, and effcien...

Abstract This paper considers the parameter estimation problem of a first-order threshold autoregressive conditional heteroscedasticity model by using empirical likelihood method. We obtain ratio statistic based on estimating equation least squares and construct confidence region for parameters. Simulation studies indicate that method outperforms normal approximation-based in terms coverage pro...