Title: Nonlinear scalar BEKK
Authors: Bilel Sanhaji - University Paris 8 (France) [presenting]
Abstract: A nonlinear conditional covariance model with five scalars is proposed and the asymptotic theory of the quasi-maximum likelihood estimator is developed. 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.