Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - 2006
The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of … 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 …