Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/339521 
Year of Publication: 
2026
Series/Report no.: 
Cardiff Economics Working Papers No. E2026/3
Publisher: 
Cardiff University, Cardiff Business School, Cardiff
Abstract: 
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 process, which ensures compliance with these matrix inequalities and addresses the limitations of unconstrained approaches used in previous studies. To demonstrate the effectiveness of the proposed method, we apply it to four empirical cases in financial volatility modeling, emphasizing its practical relevance.
Subjects: 
Admissible Parameter Space
Constrained Maximum Likelihood Estimation
Matrix Inequalities
MEM
Multivariate Volatility Modeling
Second Moment Structure
JEL: 
C32
C53
C58
G15
Document Type: 
Working Paper

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