A0223
Title: Nonlinear scalar BEKK
Authors: Bilel Sanhaji - University Paris 8 (France) [presenting]
Abstract: A nonlinear conditional covariance model driven by five scalars is proposed. We propose Lagrange Multiplier tests for nonlinearity in conditional covariances of multivariate GARCH models. We also show asymptotic properties of the tests through Monte Carlo simulations, and provide empirical illustrations.
