Vector Multiplicative Error Models: Representation and Inference
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The 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
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美国国家经济研究局创建时间：
2006-11-01
