a stochastic way. However, it is required to check whether there exist deterministic effects of volatilities on high … frequency economic variables. In order to reveal these deterministic effects, we developed a new component-wise model, namely … the volatilities have statistically significant deterministic effects on the asset pricing of high frequency financial …

a stochastic way. However, it is required to check whether there exist deterministic effects of volatilities on high … frequency economic variables. In order to reveal these deterministic effects, we developed a new component-wise model, namely … the volatilities have statistically significant deterministic effects on the asset pricing of high frequency financial …

The inclusion of linear deterministic effects in a time series model is important to get an appropriate specification …-step method for estimating an adjusted time series and the parameters of its linear deterministic effects simultaneously. Although …-product is a substantial increase in efficiency in the estimates of the deterministic effects. Some theoretical examples are …