This paper introduces the notion of common noncausal features and proposes tools to detect them in multivariate time series models. We argue that the existence of co-movements might not be detected using the conventional stationary vector autoregressive (VAR) model as the common dynamics are...

This paper introduces a new modelling for detecting the presence of commonalities in a set of realized volatility measures. In particular, we propose a multivariate generalization of the heterogeneous autoregressive model (HAR) that is endowed with a common index structure. The Vector...