Özsoy, Fehmi; Doğan, Nükhet - In: International Econometric Review (IER) 14 (2022) 1, pp. 1-20
a stochastic way. However, it is required to check whether there exist deterministic effects of volatilities on high … frequency economic variables. In order to reveal these deterministic effects, we developed a new component-wise model, namely … the volatilities have statistically significant deterministic effects on the asset pricing of high frequency financial …
