The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate … restrictions and hypotheses can be tested to stress the role of one market relative to another (spillover, interdependence … the long run with a spillover from Hong Kong to Korea and Thailand, interdependence with Malaysia and comovement with …

gains over the equation by equation approach using a four variable fully interdependent model with different volatility …

In this paper we address the issue of forecasting Value–at–Risk (VaR) using different volatility measures: realized … volatility, bipower realized volatility, two scales realized volatility, realized kernel as well as the daily range. We propose a …-Spline Multiplicative Error Model. Exploiting UHFD volatility measures, VaR predictive ability is considerably improved upon relative to a …

is presented in this paper and evaluated by means of a simulation and a real world example of volatility spillovers in …

, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector …, number of trades and realized volatility reveals empirical support for a dynamically interdependent pattern of relationships …

We analyze several measures of volatility (realized variance, bipower variation and squared daily returns) as …

, and foremost, volatility measured on the basis of ultra-high frequency data, but also volumes, number of trades, durations … the MEM to the realized kernel volatility of components of the S&P100 index. We suggest extensions of the base model by …