Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases …, the quality of forecasts should improve. Yet, there is no consensus about a "true" or "best" measure of volatility. In … this paper we propose to jointly consider absolute daily returns, daily high-low range and daily realized volatility to …

in computational speed and estimation accuracy. The comparison is computationally intensive given the typical sample size …

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

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 …

process be contemporaneously correlated. The estimation procedure is hindered by the lack of probability density functions for … gains over the equation by equation approach using a four variable fully interdependent model with different volatility …