We extend the classical theorems of I. I. Privalov and A. Zygmund from single to multiple conjugate functions in terms of the multiplicative modulus of continuity. A remarkable corollary is that if a function f belongs to the multiplicative Lipschitz class $Lip(\alpha ₁,...,{\alpha }_N)$ for some $0<\alpha ₁,...,{\alpha }_N<1$ and its marginal functions satisfy $f(·,x₂,...,x_N)\in Lip\beta ₁,...,f(x₁,...,x_{N-1},·)\in Lip{\beta }_N$ for some $0<\beta ₁,...,{\beta }_N<1$ uniformly in the indicated variables $x_l$, 1 ≤ l ≤ N, then $f{̃}^{(\eta ₁,...,{\eta }_N)}\in Lip(\alpha ₁,...,{\alpha }_N)$ for each choice of $(\eta ₁,...,{\eta }_N)$ with ${\eta }_l=0$ or 1 for 1 ≤ l ≤ N.