1 option
Vector Multiplicative Error Models: Representation and Inference / Fabrizio Cipollini, Robert F. Engle, Giampiero M. Gallo.
- Format:
- Book
- Author/Creator:
- Cipollini, Fabrizio.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w12690.
- NBER working paper series no. w12690
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2006.
- Summary:
- 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.
- Notes:
- Print version record
- November 2006.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.