Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - 2006
estimate the parameters of the scale factors and of the correlations of the innovation processes. Empirical applications on … a multi-variate extension of such a model, by taking into consideration the possibility that the vector innovation … multivariate positive valued random variables. We suggest the use of copulafunctions and of estimating equations to jointly …