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 …

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

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 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 …

Markov Switching Models to test whether the Italian stock market volatility has increased in the long run and if it can be … represented by different volatility regimes. We find that volatility regimes exist; that Banking sector has a central role and …