NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Vector Multiplicative Error Models: Representation and Inference

Fabrizio Cipollini, Robert F. Engle, Giampiero M. Gallo

NBER Working Paper No. 12690
Issued in November 2006

---- Acknowledgements -----

We thank Christian T. Brownlees, Marco J. Lombardi and Margherita Velucchi for many discussions on MEMs and multivariate extensions, as well as participants in seminars at CORE and IGIER-Bocconi for helpful comments. The usual disclaimer applies. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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