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 …