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Thank you guys.
According to bitpicker's explanation, I think it would be better to translate these words as:

to shout = (на/про/_)кричать
to yell = (на/про/_)орать

What do you think?

I can't figure out a difference between the words cry, shout, yell, scream and shriek. Are there any?

I guess that "to shriek" is sudden action for those who didn't expected that (she shrieked out...