Asteroids

The asteroid was travelling around the atmosphere for 32 seconds and exploded at a height ok 10 and 20 km, in some of the videos you can see the explosion for a while, the the light of the explotion and finally the sound of it, but the asteroid could actually travel some part of the atmosphere without exploding.

 
From European Space agency :

While precise information on the size, mass and composition of the object are yet to be confirmed, videos show a fireball and explosion consistent with an asteroid up to a few metres in size exploding in the atmosphere, possibly several to ten kilometres above the surface.

In this type of event, if the explosion altitude is less than 10 km or so, the resulting shockwave can cause damage on the ground, such as shattering windows. Debris from the object may be found later.
www.esa.int/Our_Activities/Operations/Russian_asteroid_strike