  In this paper we analyze the product of bi-dimensional VAR(1) model
components. For the introduced time series we derive general formulas for the
autocovariance function and study its properties for different cases of
cross-dependence between the VAR(1) model components. The theoretical results
are then illustrated in the simulation study for two types of bivariate
distributions of the residual series, namely the Gaussian and Student's t. We
also show a possible practical application of the obtained results based on the
data from the electricity market.
