Barigozzi, Matteo; Brownlees, Christian T.; Gallo, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2014
Realized volatilities measured on several assets exhibit a common secular trend and some idiosyncratic pattern. We accommodate such an empirical regularity extending the class of Multiplicative Error Models (MEMs) to a model where the common trend is estimated nonparametrically while the...