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

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

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 …

This paper assesses the performance of volatility forecasting using focused selection and combination strategies to … forecast strategies for the selection of relevant exogenous information. The set of explanatory variables that helps improving …

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 …