We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics …) 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 …

dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven …) 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 …