Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - 2006
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 … multivariate positive valued random variables. We suggest the use of copulafunctions and of estimating equations to jointly …