Given a set of continuous variables with missing data, we prove in this paper that the iterative application of a simple “least-squares estimation/multivariate normal simulation” procedure produces an efficient parameters estimator. There are two main assumptions behind our proof: (1) the...

Multiplicative Error Models (MEM) can be used to trace the dynamics of non–negative valued processes. Interactions between several such processes are accommodated by the vector MEM and estimated by maximum likelihood (Gamma marginals with copula functions) or by Generalized Method of Moments....

In financial time series analysis we encounter several instances of non–negative valued processes (volumes, trades, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector of conditionally autoregressive scale factors and a...