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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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Publicado en:Journal of Financial Econometrics Vol. 24; no. 3; pp. 1 - 29
Autores principales: Karanasos, Menelaos, Xu, Yongdeng, Yfanti, Stavroula, Zopounidis, Constantin
Formato: Artículo
Publicado: Oxford University Press / USA 2026
Materias:
Matrix inequalities
Maximum likelihood statistics
Statistical models
Acceso en línea:Ver este registro en EBSCOhost