activity
20162026
most citedEstimating the causal effect of an intervention in a time series setting: the C-ARIMA approach

3 citations · 4 across the 7 of their papers we have counts for

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Showing 2016Show all

1 paper · 1 filter

q-fin.ST2016

Copula--based Specification of vector MEMs

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

The Multiplicative Error Model (Engle (2002)) for nonnegative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation proces…