Barigozzi, Matteo; Brownlees, Christian; Gallo, Giampiero M. - In: Journal of Econometrics 182 (2014) 2, pp. 364-384
Realized volatilities observed across several assets show a common secular trend and some idiosyncratic pattern which we accommodate by extending the class of Multiplicative Error Models (MEMs). In our model, the common trend is estimated nonparametrically, while the idiosyncratic dynamics are...