We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven 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 this paper we study the asymptotic behaviour of power and multipower variations of stochastic processes. Processes of the type considered serve in particular, to analyse data of velocity increments of a fluid in a turbulence regime with spot intermittency sigma. The purpose of the present...

In this paper, we develop a penalized realized variance (PRV) estimator of the quadratic variation (QV) of a high-dimensional continuous Itô semimartingale. We adapt the principle idea of regularization from linear regression to covariance estimation in a continuous-time high-frequency setting....

In this paper we study the asymptotic behaviour of power and multipower variations of stochatstic processes. Processes of the type considered serve in particular, to analyse data of velocity increments of a uid in a turbulence regime with spot intermittency sigma. The purpose of the present...