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11 juin 2018: 1 événement

  • Archives des séminaires 2017-2018

    Lundi 11 juin 11:00-12:00 - Thomas Chuffart - CRESE – Centre de Recherche de Stratégies Économiques, UBFC

    Séminaire PS : A misspecification test in multivariate GARCH models

    Résumé : We propose Lagrange multiplier tests for nonlinearity in conditional covariances in multivariate GARCH models. The null hypothesis is the full BEKK model in which covolatilities of time series are driven by a linear function of their own lags and lagged squared innovations. The alternative hypothesis is an extension of the model in which covolatilities are modeled by a Taylor approximation function of the lagged squared innovations, represented by a general non-specified nonlinear function. We investigate the size and power of these tests through Monte Carlo experiments, and we provide empirical illustrations. Co-écrit avec Bilel Sanhajib, Université Paris 8, LED.

    Lieu : Salle 316 - LMB

    En savoir plus : Archives des séminaires 2017-2018

11 juin 2018: 2 événements