Enforcing an Admissible Parameter Space for Vector Multiplicative Error Models: The Fundamental Role of Matrix Inequality Constraints.

We derive an admissible parameter space for vector multiplicative error models (vMEMs), explicitly formulating it in terms of the model's matrix parameters through a set of matrix inequalities. Another key contribution is the adoption of constrained maximum likelihood estimation for the multivariate...

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Bibliographic Details

Published in:	Journal of Financial Econometrics Vol. 24; no. 3; pp. 1 - 29
Main Authors:	Karanasos, Menelaos, Xu, Yongdeng, Yfanti, Stavroula, Zopounidis, Constantin
Format:	Article
Published:	Oxford University Press / USA 2026
Subjects:	Matrix inequalities Maximum likelihood statistics Statistical models
Online Access:	View this record in EBSCOhost