likelihood estimation of all model parameters is performed via an expectation maximization algorithm, and is applicable in high …

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …-based estimation procedures for the parametric and nonparametric components, and derive the asymptotic properties thereof. For the …

Availability of high frequency data has improved the capability of computing volatility in an efficient way …. Nevertheless, measuring volatility/covariance from the observation of the asset price is challenging for two main reasons: observed … multivariate volatility, with particular focus on using high frequency data. Exploiting the fact that the method allows to compute …

, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …