Vector multiplicative error models
Subtitle: representation and inference
By: Fabrizio Cipollini, Robert F. Engle, Giampiero M. Gallo
Contributors: Engle, Robert F.; Gallo, Giampiero M.; National Bureau of Economic Research
Series: NBER working paper series -- working paper 12690; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 12690.
Publisher: National Bureau of Economic Research
Published: 2006
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] :
Description: "The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support.  In this paper we propose a multi-variate extension of such a model, by taking into consideration the possibility that the vector innovation process be contemporaneously correlated.  The estimation procedure is hindered by the lack of probability density functions for multivariate positive valued random variables.  We suggest the use of copulafunctions and of estimating equations to jointly estimate the parameters of the scale factors and of the correlations of the innovation processes.  Empirical applications on volatility indicators are used to illustrate the gains over the equation by equation procedure"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 12/20/2006.

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