Within models for nonnegative time series, it is common to encounter deterministic components (trends, seasonalities) which can be specified in a flexible form. This work proposes the use of shrinkage type estimation for the parameters of such components. The amount of smoothing to be imposed on...

In this paper we discuss some deep implications of the recent paper by Bollerslev et al. (2016) (BPQ). In BPQ the volatility dynamics modeled as a HAR is augmented by a term involving quarticity in order to correct measurement errors in realized variance. We show that the model is...

This paper proposes a consistent estimator for the realized covariance of high frequency and asynchronous assets' returns that are contaminated by microstructure noise. The main contribution is the introduction of the pseudoaggregation which transforms the observations into series with the same...