Vector Multiplicative Error Models: Representation and Inference

By Fabrizio Cipollini, Robert F. Engle, Giampiero M. Gallo. 2006

65 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/893d32e2dc7aee1e583182e24f741d23e01ac5e4

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In Economics and Econometrics

1. André Lucas
2. S. J. Koopman
3. Drew D. Creal
4. Francisco Blasques
5. Pawel Janus
6. J. Wu
7. Rutger Lit

Citations in the corpus

• Comparison of Volatility Measures: A Risk Management Perspective (2010, unknown): “Discussions and extensions on the properties of this model class can be found in Engle (2002), Engle & Gallo (2006), Cipollini et al. (2006).”
• Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (2010, unknown): “Moreover, it should be straightforward to extend the model to a multivariate setting, in the spirit of, e.g. Manganelli (2005), Cipollini et al. (2006) or Hautsch (2008).”
• GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2013, background): “…family of distributions) the generalized linear autoregressive (GLAR) models of Shephard (1995), the generalized autoregressive moving average (GARMA) models of Benjamin, Rigby, and Stanispoulos (2003), and the vector multiplicative error models (MEM) of Cipollini, Engle, and Gallo (2006).”
• A General Framework for Observation Driven Time-Varying Parameter Models (2008, unknown): “…in the literature including the generalized linear autoregressive (GLAR) models of Shephard (1995), the generalized autoregressive moving average (GARMA) models of Benjamin, Rigby, and Stanispoulos (2003) and the vector multiplicative error models (MEM) of Cipollini, Engle, and Gallo (2006).”