01944cam a22002657 4500001000700000003000500007005001700012008004100029100002500070245015300095260006600248490004200314500001900356520083300375530006101208538007201269538003601341690006201377700002101439700002401460710004201484830007701526856003801603856003701641w12690NBER20160213024756.0160213s2006 mau||||fs|||| 000 0 eng d1 aCipollini, Fabrizio.10aVector Multiplicative Error Modelsh[electronic resource]:bRepresentation and Inference /cFabrizio Cipollini, Robert F. Engle, Giampiero M. Gallo. aCambridge, Mass.bNational Bureau of Economic Researchc2006.1 aNBER working paper seriesvno. w12690 aNovember 2006.3 aThe 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. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aC01 - Econometrics2Journal of Economic Literature class.1 aEngle, Robert F.1 aGallo, Giampiero M.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w12690.4 uhttp://www.nber.org/papers/w1269041uhttp://dx.doi.org/10.3386/w12690