Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
) common factor dynamics as well as idiosyncratic effects in the processes of high-frequency return volatilities, trade sizes … and intensities are driven by idiosyncratic dynamics as well as a highly persistent common factor capturing most causal … designed to explicitly account for (information driven) common factor dy-
namics as well as idiosyncratic effects in the …