This paper compares the forecasting performances of both univariate and multivariate models for realized volatilities series. We consider realized volatility measures of the returns of 13 major banks traded in the NYSE. Since our variables are characterized by the presence of long range...

This paper introduces a new modelling for detecting the presence of commonalities in a set of realized volatility measures. In particular, we propose a multivariate generalization of the heterogeneous autoregressive model (HAR) that is endowed with a common index structure. The Vector...