A0228
Title: Nonlinear scalar BEKK
Authors: Bilel Sanhaji - University Paris 8 (France) [presenting]
Abstract: A nonlinear conditional covariance model is proposed with five scalars to estimate. We develop the asymptotic theory of the quasi maximum likelihood estimator. We propose Lagrange Multiplier and Likelihood Ratio tests for nonlinearity in conditional covariances in multivariate GARCH models. We also show asymptotic properties through Monte Carlo simulations and provide empirical illustrations.
