, and foremost, volatility measured on the basis of ultra-high frequency data, but also volumes, number of trades, durations … estimation. In the application, we show the regularity in parameter estimates and forecasting performance obtainable by applying … the MEM to the realized kernel volatility of components of the S&P100 index. We suggest extensions of the base model by …

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 …