1. Trading VIX on Volatility Forecasts: Another Volatility Puzzle?. (2025). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis ; Giannopoulos, George.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:44:y:2025:i:4:p:1602-1618.

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2. Formalizing a Postprocessing Procedure for Linear–Convex Combination Forecasts. (2025). Wilfling, Bernd ; Monschang, Verena.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:44:y:2025:i:4:p:1280-1293.

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3. Forecasting Realized Volatility: The Choice of Window Size. (2025). Zhang, Yaojie ; Feng, Yuqing.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:44:y:2025:i:2:p:692-705.

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4. Exploiting News Analytics for Volatility Forecasting. (2025). Bodilsen, Simon Tranberg ; Lunde, Asger.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:40:y:2025:i:1:p:18-36.

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5. Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh.
   In: Computational Economics.
   RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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6. Expected idiosyncratic volatility. (2025). Bekaert, Geert ; Bergbrant, Mikael ; Kassa, Haimanot.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000315.

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7. Returns from liquidity provision in cryptocurrency markets. (2025). Farag, Hisham ; Yarovaya, Larisa ; Luo, DI ; Zieba, Damian.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:175:y:2025:i:c:s0378426625000317.

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8. Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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9. Forecasting realized volatility with spillover effects: Perspectives from graph neural networks. (2025). Cucuringu, Mihai ; Dong, Xiaowen ; Zhang, Chao ; Pu, Xingyue.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:41:y:2025:i:1:p:377-397.

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10. Model specification for volatility forecasting benchmark. (2025). Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007828.

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11. Interconnectedness among supply chain disruptions, energy crisis, and oil market volatility on economic resilience. (2025). Fu, Yuxi ; Yang, Shaopeng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325001136.

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12. The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model. (2025). Zamenjani, Azam Shamsi ; Maheu, John M.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000428.

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13. Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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14. Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects. (2025). Cheng, Mingmian ; Luo, Jiawen.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001099.

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15. Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229.

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16. Predicting cryptocurrency volatility: The power of model clustering. (2025). Qu, Shaoguang ; Qiu, Yue ; Xie, Tian ; Shi, Zhentao.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003432.

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17. Online Generalized Method of Moments for Time Series. (2025). Shao, Xiaofeng ; Chan, Kin Wai ; Leung, Man Fung.
    In: Papers.
    RePEc:arx:papers:2502.00751.

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18. Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures. (2024). Zhang, Qun ; Luo, Jiawen.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:44:y:2024:i:2:p:151-217.

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19. Forecasting the high‐frequency volatility based on the LSTM‐HIT model. (2024). Wang, Min ; Zhuang, Ziyan ; Liu, Guangying.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:43:y:2024:i:5:p:1356-1373.

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20. Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?. (2024). Zhang, Yaojie ; Wang, Yudong ; Feng, Yuqing.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:43:y:2024:i:3:p:567-582.

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21. Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen.
    In: Working Papers.
    RePEc:ucr:wpaper:202415.

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22. Predicting expected idiosyncratic volatility: Empirical evidence from ARFIMA, HAR, and EGARCH models. (2024). Newton, David P ; Huang, Winifred ; Xiao, Chuxuan.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:63:y:2024:i:3:d:10.1007_s11156-024-01279-z.

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23. Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas. (2024). Valle, Cristiano Arbex ; Mesquita, Caio Mario ; Machado, Adriano Cesar.
    In: Computational Economics.
    RePEc:kap:compec:v:63:y:2024:i:5:d:10.1007_s10614-023-10387-2.

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24. Forecasting Realized Covariances Using HAR-Type Models. (2024). Manner, Hans ; Tafakori, Laleh ; Quiroz, Matias.
    In: Graz Economics Papers.
    RePEc:grz:wpaper:2024-20.

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25. Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective. (2024). Xu, Yanyan ; Liu, Jing ; Chu, Jielei ; Ma, Feng.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:89:y:2024:i:pa:p:543-560.

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26. Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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27. A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902.

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28. Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Li, Dan ; Drovandi, Christopher.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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29. Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Niu, Zibo ; Zhu, Xuehong ; Suleman, Muhammad Tahir ; Zhang, Hongwei.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

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30. Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001187.

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31. Do investors in dirty and clean cryptocurrencies care about energy efficiency in the same way?. (2024). Kliber, Agata ; Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008821.

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32. Implied volatility is (almost) past-dependent: Linear vs non-linear models. (2024). Wang, Yinuo ; Cao, YI ; Zhai, Jia ; Wen, Conghua.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003387.

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33. Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting. (2024). Liao, Yin ; Ma, Feng ; Lu, Fei ; Bouri, Elie.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001947.

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34. Forecasting carbon futures returns using feature selection and Markov chain with sample distribution. (2024). Zhang, Weiguo ; Xu, Weijun ; Zhao, Yuan ; Gong, Xue.
    In: Energy Economics.
    RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006704.

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35. Exploiting the sentiments: A simple approach for improving cross hedging effectiveness. (2024). Wang, Yudong ; Fu, Ziqian ; Pan, Zhiyuan ; Dong, Qingma.
    In: Energy Economics.
    RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003013.

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36. Forecasting of clean energy market volatility: The role of oil and the technology sector. (2024). Lyócsa, Štefan ; Lyocsa, Tefan ; Todorova, Neda.
    In: Energy Economics.
    RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001592.

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37. Optimal nonparametric range-based volatility estimation. (2024). Bollerslev, Tim ; Li, Qiyuan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002646.

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38. Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS. (2024). Gallo, Giampiero ; Otranto, Edoardo ; Domianello, Luca Scaffidi.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:86:y:2024:i:1:p:21-43.

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39. Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans.
    In: Papers.
    RePEc:arx:papers:2412.10791.

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40. Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree.
    In: Papers.
    RePEc:arx:papers:2412.00658.

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41. Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao.
    In: Papers.
    RePEc:arx:papers:2408.13588.

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42. Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio.
    In: Papers.
    RePEc:arx:papers:2406.06235.

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43. Convolution-t Distributions. (2024). Hansen, Peter ; Tong, Chen.
    In: Papers.
    RePEc:arx:papers:2404.00864.

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44. Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2024). Zohren, Stefan ; Poon, Ser-Huang ; Rahimikia, Eghbal.
    In: Papers.
    RePEc:arx:papers:2108.00480.

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45. Bootstrapping Laplace transforms of volatility. (2023). Hounyo, Ulrich ; Liu, Zhi ; Varneskov, Rasmus T.
    In: Quantitative Economics.
    RePEc:wly:quante:v:14:y:2023:i:3:p:1059-1103.

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46. Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Koubaa, Yosra ; Slim, Skander ; Osman, Mohamed ; Tabche, Ibrahim ; Karathanasopoulos, Andreas.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929.

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47. Forecasting stock return volatility: Realized volatility‐type or duration‐based estimators. (2023). Liu, Xiaoquan ; Fei, Tianlun ; Wen, Conghua.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:7:p:1594-1621.

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48. Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Wei Chong ; Liu, Min.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100.

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49. Combining simple multivariate HAR-like models for portfolio construction. (2023). Vasnev, Andrey ; Clements, Adam.
    In: Working Papers.
    RePEc:syb:wpbsba:2123/31836.

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50. A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2023/03.

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51. Control charts for measurement error models. (2023). Seifert, Miriam Isabel ; Golosnoy, Vasyl ; Hildebrandt, Benno ; Khler, Steffen ; Schmid, Wolfgang.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:107:y:2023:i:4:d:10.1007_s10182-022-00462-8.

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52. Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Sanhaji, Bilel ; Chevallier, Julien.
    In: Econometrics.
    RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066.

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53. Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index. (2023). Zhang, Yaojie ; Wang, Yudong ; Zeng, Qing ; He, Mengxi.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923001095.

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54. Cryptocurrencies are not immune to coronavirus: Evidence from investor fear. (2023). Hoang, Lai T ; Baur, Dirk G.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:88:y:2023:i:c:p:1444-1463.

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55. Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. (2023). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:32:y:2023:i:c:s240585132300051x.

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56. The role of higher moments in predicting Chinas oil futures volatility: Evidence from machine learning models. (2023). Niu, Zibo ; Zhao, Xinyi ; Gao, Wang ; Zhang, Hongwei.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000429.

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57. The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Nikitopoulos, Christina Sklibosios ; Thomas, Alice Carole.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

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58. The incremental information in the yield curve about future interest rate risk. (2023). Veliyev, Bezirgen ; Christensen, Bent Jesper ; Kjar, Mads Markvart.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711.

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59. The effect of uncertainty on stock market volatility and correlation. (2023). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097.

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60. Improving variance forecasts: The role of Realized Variance features. (2023). Tzavalis, Elias ; Rompolis, Leonidas ; Papantonis, Ioannis.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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61. Discovering the drivers of stock market volatility in a data-rich world. (2023). Cho, Hoon ; Ryu, Doojin ; Chun, Dohyun.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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62. Comparing the impact of Chinese and U.S. economic policy uncertainty on the volatility of major global stock markets. (2023). Shi, Yujie ; Wang, Liming.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:57:y:2023:i:c:s1044028323000558.

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63. Less is more? New evidence from stock market volatility predictability. (2023). Guo, Qiang ; Ma, Feng ; Lu, Fei.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003356.

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64. The impact of the Russian-Ukrainian war on global financial markets. (2023). Muradoglu, Yaz ; Muradolu, Yaz Gulnur ; Pappas, Vasileios ; Sivaprasad, Sheeja ; Izzeldin, Marwan ; Petropoulou, Athina.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:87:y:2023:i:c:s105752192300114x.

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65. Estimation with mixed data frequencies: A bias-correction approach. (2023). LINTON, OLIVER ; Ghosh, Anisha.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000701.

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66. Time series momentum and reversal: Intraday information from realized semivariance. (2023). Wang, Shixuan ; Lu, Shanglin ; Liu, Zhenya.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:72:y:2023:i:c:p:54-77.

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67. The contribution of jump signs and activity to forecasting stock price volatility. (2023). Bu, Ruijun ; Hizmeri, Rodrigo ; Tsionas, Mike ; Izzeldin, Marwan ; Murphy, Anthony.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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68. Score-driven models for realized volatility. (2023). Harvey, Andrew ; Palumbo, Dario.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422.

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69. Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

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70. Volatility measurement with pockets of extreme return persistence. (2023). Andersen, Torben ; Li, Yingying ; Todorov, Viktor ; Zhou, BO.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407620303924.

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71. Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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72. A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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73. Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process. (2023). Yu, Jun ; Wang, Xiaohu ; Xiao, Weilin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:232:y:2023:i:2:p:389-415.

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74. Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Tzavalis, Elias ; Papantonis, Ioannis ; Elias, Tzavalis ; Leonidas, Rompolis ; Ioannis, Papantonis ; Orestis, Agapitos.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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75. Predicting stock realized variance based on an asymmetric robust regression approach. (2023). Zhang, Yaojie ; Zhao, Yuqi ; He, Mengxi.
    In: Bulletin of Economic Research.
    RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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76. Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Pu, Xingyue ; Dong, Xiaowen ; Cucuringu, Mihai ; Zhang, Chao.
    In: Papers.
    RePEc:arx:papers:2308.01419.

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77. Volatility forecasting with machine learning and intraday commonality. (2023). Qian, Zhongmin ; Zhang, Yihuang ; Cucuringu, Mihai.
    In: Papers.
    RePEc:arx:papers:2202.08962.

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78. Forecasting international equity market volatility: A new approach. (2022). Zhang, Yaojie ; Li, Yan ; Ma, Feng ; Liang, Chao.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:7:p:1433-1457.

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79. Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility. (2022). Ji, Qiang ; Luo, Jiawen ; Marfatia, Hardik A.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:2:p:383-404.

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80. What matters when developing oil price volatility forecasting frameworks?. (2022). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:2:p:361-382.

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81. Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Wen, Danyan.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

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82. Information gains from using short‐dated options for measuring and forecasting volatility. (2022). Zhang, Yang ; Todorov, Viktor.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:37:y:2022:i:2:p:368-391.

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83. Financial modelling, risk management of energy instruments and the role of cryptocurrencies. (2022). Shahbaz, Muhammad ; Nasir, Muhammad Ali ; Duc, Toan Luu ; Ullah, Subhan.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-020-03680-y.

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84. Procyclical volatility in Chinese stock markets. (2022). Jiang, Ying ; Liu, Xiaoquan ; Fei, Tianlun ; Deschamps, Bruno.
    In: Review of Quantitative Finance and Accounting.
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85. Portfolio Choices with Many Big Models. (2022). Anderson, Evan ; Cheng, Ai-Ru.
    In: Management Science.
    RePEc:inm:ormnsc:v:68:y:2022:i:1:p:690-715.

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86. Digital RMB, RMB Internationalization and Sustainable Development of the International Monetary System. (2022). Shen, Chunming.
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    RePEc:gam:jsusta:v:14:y:2022:i:10:p:6228-:d:819952.

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87. Modeling Realized Variance with Realized Quarticity. (2022). Kawakatsu, Hiroyuki.
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88. Weighted Least Squares Realized Covariation Estimation. (2022). Nolte, Ingmar ; Li, Yifan ; Voev, Valeri ; Xu, QI ; Vasios, Michalis.
    In: Journal of Banking & Finance.
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89. A geometric framework for covariance dynamics. (2022). Park, Frank C ; Han, Chulwoo.
    In: Journal of Banking & Finance.
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90. Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Hou, Chenghan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73.

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91. Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002137.

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92. Market distraction and near-zero daily volatility persistence. (2022). Wang, Jianxin.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000023.

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93. Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen.
    In: Energy Economics.
    RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x.

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94. From zero to hero: Realized partial (co)variances. (2022). Quaedvlieg, Rogier ; Patton, Andrew ; Medeiros, Marcelo ; Bollerslev, Tim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:231:y:2022:i:2:p:348-360.

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95. Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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96. Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

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97. Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China. (2022). Jian, Zhihong ; Zhu, Zhican ; Li, Xupei.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002242.

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98. Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

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99. A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction. (2022). Wilfling, Bernd ; Monschang, Verena.
    In: CQE Working Papers.
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100. Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS. (2022). Otranto, Edoardo ; Gallo, Giampiero ; Domianello, Scaffidi L.
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101. The Exponential HEAVY Model: An Improved Approach to Volatility Modeling and Forecasting. (2022). Xu, Yongdeng.
     In: Cardiff Economics Working Papers.
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102. NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-task Financial Forecasting. (2022). Zhang, Yue ; Dong, Ruihai ; Yang, Linyi ; Li, Jiazheng ; Smyth, Barry.
     In: Papers.
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103. Do economic variables forecast commodity futures volatility?. (2021). Marechal, Loic.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1735-1774.

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104. Forecasting stock return volatility using a robust regression model. (2021). Zhang, Yaojie ; Hao, Xianfeng ; He, Mengxi ; Meng, Fanyi.
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:40:y:2021:i:8:p:1463-1478.

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105. A simple linear alternative to multiplicative error models with an application to trading volume. (2021). Hurn, Stan ; Clements, Adam ; Volkov, Vladimir.
     In: Working Papers.
     RePEc:tas:wpaper:38716.

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106. Forecast combination puzzle in the HAR model. (2021). Vasnev, Andrey ; Clements, Adam.
     In: Working Papers.
     RePEc:syb:wpbsba:2123/25045.

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107. Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks. (2021). Ji, Qiang ; GUPTA, RANGAN ; Demirer, Riza ; Luo, Jiawen.
     In: Working Papers.
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108. Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model. (2021). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory.
     In: MPRA Paper.
     RePEc:pra:mprapa:109231.

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109. The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2021). Tsionas, Mike ; Hizmeri, Rodrigo ; Izzeldin, Marwan ; Murphy, Anthony ; Bu, Ruijun.
     In: Research Papers.
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110. New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?. (2021). Tanaka, Katsuyuki ; Hamori, Shigeyuki ; Higashide, Takuo ; Kinkyo, Takuji.
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111. Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China. (2021). Bao, Weiwei ; Chen, Rongda ; Jin, Chenglu.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:75:y:2021:i:c:p:112-129.

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112. What are bitcoin market reactions to its-related events?. (2021). Li, Zhenghui ; Chen, Liming ; Dong, Hao.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:73:y:2021:i:c:p:1-10.

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113. Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Wang, Jiqian ; Ding, Hui ; Ma, Feng ; Lu, Botao.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:72:y:2021:i:c:p:672-689.

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114. Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Plíhal, Tomáš ; Lyócsa, Štefan ; Plihal, Toma ; Lyocsa, Tefan.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829.

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115. A Practical Guide to harnessing the HAR volatility model. (2021). Clements, Adam.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002417.

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116. Volatility forecasting in European government bond markets. (2021). Ozbekler, Ali Gencay ; Triantafyllou, Athanasios ; Kontonikas, Alexandros.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:37:y:2021:i:4:p:1691-1709.

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117. Identification of volatility proxies as expectations of squared financial returns. (2021). Sucarrat, Genaro.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:37:y:2021:i:4:p:1677-1690.

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118. Stock market volatility forecasting: Do we need high-frequency data?. (2021). Výrost, Tomáš ; Molnár, Peter ; Lyócsa, Štefan ; Vrost, Toma ; Lyocsa, Tefan ; Molnar, Peter.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:37:y:2021:i:3:p:1092-1110.

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119. A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Buccheri, Giuseppe ; Corsi, Fulvio ; Vassallo, Danilo.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586.

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120. Multivariate volatility forecasts for stock market indices. (2021). Wilms, Ines ; Rombouts, Jeroen ; Croux, Christophe.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:37:y:2021:i:2:p:484-499.

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121. Realized volatility forecasting: Robustness to measurement errors. (2021). Otranto, Edoardo ; Gallo, Giampiero ; Cipollini, Fabrizio.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57.

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122. The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets. (2021). Yarovaya, Larisa ; Matkovskyy, Roman ; Jalan, Akanksha.
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121000408.

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123. FX market volatility modelling: Can we use low-frequency data?. (2021). Výrost, Tomáš ; Plíhal, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315907.

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124. Herding and market volatility. (2021). Liu, Xiaoquan ; Fei, Tianlun.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:78:y:2021:i:c:s105752192100209x.

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125. The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. (2021). Muradoglu, Yaz ; Muradolu, Yaz Gulnur ; Pappas, Vasileios ; Sivaprasad, Sheeja ; Izzeldin, Marwan.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000144.

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126. What drives volatility of the U.S. oil and gas firms?. (2021). Lyócsa, Štefan ; Lyocsa, Tefan ; Todorova, Neda.
     In: Energy Economics.
     RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100270x.

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127. Forecasting volatility using double shrinkage methods. (2021). Yang, Xiye ; Swanson, Norman ; Cheng, Mingmian.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:62:y:2021:i:c:p:46-61.

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128. Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty. (2021). Xie, Tian ; Qiu, Yue ; Wang, Zongrun ; Zhang, Xinyu.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:62:y:2021:i:c:p:179-201.

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129. Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero ; Cipollini, Fabrizio.
     In: Papers.
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130. A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim.
     In: CREATES Research Papers.
     RePEc:aah:create:2021-03.

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131. Volatility forecasts embedded in the prices of crude‐oil options. (2020). Tsiaras, Leonidas ; Gilder, Dudley.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1127-1159.

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132. Uncertainty and the volatility forecasting power of option‐implied volatility. (2020). Seo, Sung Won ; Kim, Junsik ; Jeon, Byounghyun.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1109-1126.

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133. Forecasting bitcoin volatility: Evidence from the options market. (2020). Hoang, Lai T ; Baur, Dirk G.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1584-1602.

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134. A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility. (2020). Shi, Yanlong ; Ying, Tingting ; Ai, Chunrong.
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:39:y:2020:i:7:p:1025-1034.

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135. Combining multivariate volatility forecasts using weighted losses. (2020). Clements, Adam ; Doolan, Mark Bernard.
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:39:y:2020:i:4:p:628-641.

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136. Directed Acyclic Graph based Information Shares for Price Discovery. (2020). Zema, Sebastiano Michele.
     In: LEM Papers Series.
     RePEc:ssa:lemwps:2020/28.

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137. Identification of Volatility Proxies as Expectations of Squared Financial Return. (2020). Sucarrat, Genaro.
     In: MPRA Paper.
     RePEc:pra:mprapa:101953.

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138. Stock Return Predictability and Variance Risk Premia around the ZLB. (2020). Watanabe, Toshiaki ; Ogawa, Toshiaki ; Ubukata, Masato.
     In: IMES Discussion Paper Series.
     RePEc:ime:imedps:20-e-09.

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139. A Dynamic Conditional Approach to Portfolio Weights Forecasting. (2020). Gallo, Giampiero ; Cipollini, Fabrizio ; Palandri, Alessandro.
     In: Econometrics Working Papers Archive.
     RePEc:fir:econom:wp2020_06.

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140. Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps: A study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:67:y:2020:i:c:p:25-41.

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141. Forecasting volatility of the Chinese stock markets using TVP HAR-type models. (2020). Shang, Yue ; Zhang, Yifeng ; Wang, Yan ; Chen, Xiaodan ; Liu, Guangqiang.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319247.

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142. Bayesian sequential stock return prediction through copulas. (2020). Virbickaite, Audrone ; Macedo, Demian N ; Frey, Christoph.
     In: The Journal of Economic Asymmetries.
     RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300207.

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143. Forecasting volatility with time-varying leverage and volatility of volatility effects. (2020). Proietti, Tommaso ; Catania, Leopoldo.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:36:y:2020:i:4:p:1301-1317.

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144. Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?. (2020). Lyócsa, Štefan ; Todorova, Neda.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:36:y:2020:i:2:p:628-645.

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145. The impact of sentiment and attention measures on stock market volatility. (2020). Ballinari, Daniele ; Audrino, Francesco ; Sigrist, Fabio.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

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146. Historic risk and implied volatility. (2020). Dicle, Mehmet F ; Levendis, John.
     In: Global Finance Journal.
     RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625.

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147. The economic importance of rare earth elements volatility forecasts. (2020). Seiler, Volker ; Proelss, Juliane ; Schweizer, Denis.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306148.

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148. On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Ji, Qiang ; Klein, Tony ; Todorova, Neda ; Luo, Jiawen.
     In: Energy Economics.
     RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213.

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149. Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Do, Hung ; Brooks, Robert ; Bissoondoyal-Bheenick, Emawtee.
     In: Energy Economics.
     RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281.

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150. Volatility forecasts, proxies and loss functions. (2020). Stark, Thomas ; Mangat, Manveer Kaur ; Reschenhofer, Erhard.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:59:y:2020:i:c:p:133-153.

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151. The economic value of VIX ETPs. (2020). Christiansen, Charlotte ; Christensen, Kim ; Posselt, Anders M.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:58:y:2020:i:c:p:121-138.

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152. Incorporating the RMB internationalization effect into its exchange rate volatility forecasting. (2020). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng.
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302840.

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153. Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Wang, Tianyi ; Huang, Zhuo ; Liang, Fang.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

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154. Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping ; Lopes, Maria Helena.
     In: DES - Working Papers. Statistics and Econometrics. WS.
     RePEc:cte:wsrepe:31648.

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155. PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Cenesizoglu, Tolga ; Ibrushi, Denada.
     In: Journal of Financial Research.
     RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673.

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156. Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks. (2020). Urquhart, Andrew ; Shen, Dehua ; Wang, Pengfei.
     In: European Financial Management.
     RePEc:bla:eufman:v:26:y:2020:i:5:p:1294-1323.

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157. Measures of Model Risk in Continuous-time Finance Models. (2020). Lazar, Emese ; Qi, Shuyuan ; Tunaru, Radu.
     In: Papers.
     RePEc:arx:papers:2010.08113.

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158. A dynamic conditional approach to portfolio weights forecasting. (2020). Gallo, Giampiero ; Cipollini, Fabrizio ; Palandri, Alessandro.
     In: Papers.
     RePEc:arx:papers:2004.12400.

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159. Time series models for realized covariance matrices based on the matrix-F distribution. (2020). Zhu, Ke ; Li, Wai Keung ; Zhou, Jiayuan ; Jiang, Feiyu.
     In: Papers.
     RePEc:arx:papers:1903.12077.

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160. Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). Hizmeri, Rodrigo ; DUMITRU, ANA-MARIA ; Izzeldin, Marwan.
     In: EconStor Preprints.
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161. Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies. (2019). Xiao, Ran.
     In: PhD Thesis.
     RePEc:uts:finphd:5-2019.

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162. Asymptotic results for the Fourier estimator of the integrated quarticity. (2019). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia.
     In: Decisions in Economics and Finance.
     RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00259-6.

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163. Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects. (2019). Proietti, Tommaso ; Catania, Leopoldo.
     In: CEIS Research Paper.
     RePEc:rtv:ceisrp:450.

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164. A Practical Guide to Harnessing the HAR Volatility Model. (2019). Preve, Daniel ; Clements, Adam.
     In: NCER Working Paper Series.
     RePEc:qut:auncer:2019_01.

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165. Incorporating Realized Quarticity into a Realized Stochastic Volatility Model. (2019). Morimoto, Takayuki ; Nugroho, Didit Budi.
     In: Asia-Pacific Financial Markets.
     RePEc:kap:apfinm:v:26:y:2019:i:4:d:10.1007_s10690-019-09276-2.

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166. Estimation with Mixed Data Frequencies: A Bias-Correction Approach. (2019). LINTON, OLIVER ; Ghosh, Anisha.
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167. Realized variance modeling: decoupling forecasting from estimation. (2019). Gallo, Giampiero ; Cipollini, Fabrizio ; Palandri, Alessandro.
     In: Econometrics Working Papers Archive.
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168. Realized Volatility Forecasting: Robustness to Measurement Errors. (2019). Otranto, Edoardo ; Gallo, Giampiero ; Cipollini, Fabrizio.
     In: Econometrics Working Papers Archive.
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169. Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng.
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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170. A novel cluster HAR-type model for forecasting realized volatility. (2019). Li, Zhenxiong ; Yao, Xingzhi ; Izzeldin, Marwan.
     In: International Journal of Forecasting.
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171. The information content of short-term options. (2019). Symeonidis, Lazaros ; Oikonomou, Ioannis ; Simen, Chardin Wese ; Stancu, Andrei.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118303057.

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172. Forecasting realized variance using asymmetric HAR model with time-varying coefficients. (2019). Wu, Xinyu ; Hou, Xinmeng.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:30:y:2019:i:c:p:89-95.

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173. Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Zhang, Yaojie ; Chen, Yixiang ; Ma, Feng.
     In: Energy Economics.
     RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

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174. Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets. (2019). Teng, Yuxin ; Liu, Wenwen ; Qiao, Gaoxiu.
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:49:y:2019:i:c:p:133-151.

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175. Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D.
     In: Cambridge Working Papers in Economics.
     RePEc:cam:camdae:1950.

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176. A Vine-copula extension for the HAR model. (2019). Magris, Martin.
     In: Papers.
     RePEc:arx:papers:1907.08522.

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177. Structural breaks and volatility forecasting in the copper futures market. (2018). Lin, Boqiang ; Gong, XU.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:38:y:2018:i:3:p:290-339.

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178. Combining Multivariate Volatility Forecasts using Weighted Losses. (2018). Clements, Adam ; Doolan, M.
     In: NCER Working Paper Series.
     RePEc:qut:auncer:2018_02.

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179. Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio.
     In: MPRA Paper.
     RePEc:pra:mprapa:94289.

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180. Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio.
     In: MPRA Paper.
     RePEc:pra:mprapa:83893.

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181. Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?. (2018). Diao, Xiaohua ; Chen, Ruoxun ; Peng, Huan ; Mei, Dexiang.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:501:y:2018:i:c:p:78-85.

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182. Forecasting the value-at-risk of Chinese stock market using the HARQ model and extreme value theory. (2018). Wei, YU ; Chen, Yongfei ; Hu, Yang ; Yu, Jiang ; Liu, Guangqiang.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:499:y:2018:i:c:p:288-297.

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183. Does the OVX matter for volatility forecasting? Evidence from the crude oil market. (2018). Lv, Wendai.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:492:y:2018:i:c:p:916-922.

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184. An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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185. Forecasting realized variance measures using time-varying coefficient models. (2018). Bekierman, Jeremias ; Manner, Hans.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:34:y:2018:i:2:p:276-287.

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186. Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from Chinas stock market. (2018). Ping, Yuan ; Li, Rui.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:25:y:2018:i:c:p:222-229.

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187. Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan.
     In: Energy.
     RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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188. Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Zhang, Yaojie ; Lai, Xiaodong ; Ma, Feng ; Huang, Dengshi.
     In: Energy Economics.
     RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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189. Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets. (2018). Duan, Qing Ling ; Niu, Mengyi ; Qu, Hui.
     In: Energy Economics.
     RePEc:eee:eneeco:v:74:y:2018:i:c:p:767-776.

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190. The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU.
     In: Energy Economics.
     RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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191. Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Zhang, Yaojie ; Yang, KE ; Liu, Jing ; Ma, Feng.
     In: Energy Economics.
     RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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192. Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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193. Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Zhang, Yaojie ; Li, YU ; Liu, LI ; Ma, Feng.
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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194. Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping.
     In: CREATES Research Papers.
     RePEc:aah:create:2018-10.

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195. Realized volatility of CO2 futures. (2017). López Cabrera, Brenda ; Benschop, Thijs.
     In: SFB 649 Discussion Papers.
     RePEc:zbw:sfb649:sfb649dp2017-025.

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196. Time‐Varying Parameter Realized Volatility Models. (2017). Wang, Yudong ; Pan, Zhiyuan ; Wu, Chongfeng.
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:36:y:2017:i:5:p:566-580.

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197. Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting. (2017). Koopman, Siem Jan ; Blasques, Francisco ; Jan, Siem ; Gorgi, Paolo.
     In: Tinbergen Institute Discussion Papers.
     RePEc:tin:wpaper:20170059.

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198. Forecasting Financial Market Volatility Using a Dynamic Topic Model. (2017). Kawasaki, Yoshinori ; Morimoto, Takayuki.
     In: Asia-Pacific Financial Markets.
     RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9228-z.

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199. Realized volatility of CO2 futures. (2017). López Cabrera, Brenda ; Benschop, Thijs.
     In: SFB 649 Discussion Papers.
     RePEc:hum:wpaper:sfb649dp2017-025.

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200. Improving Volatility Risk Forecasting Accuracy in Industry Sector. (2017). al Wadi, S.
     In: International Journal of Mathematics and Mathematical Sciences.
     RePEc:hin:jijmms:1749106.

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201. Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Li, Steven ; Chen, Langnan ; Yang, KE ; Tian, Fengping.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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202. Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785.

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203. Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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204. Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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205. Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). Wei, YU ; Liu, Jing ; Ma, Feng.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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206. Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin.
     In: CREATES Research Papers.
     RePEc:aah:create:2017-19.

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207. Volatility forecasting of strategically linked commodity ETFs: gold-silver. (2016). Molnár, Peter ; Lyócsa, Štefan ; Molnar, Peter.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:16:y:2016:i:12:p:1809-1822.

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208. Bayesian Nonparametric Estimation of Ex-post Variance. (2016). Maheu, John ; Liu, Jia ; Griffin, Jim.
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     RePEc:pra:mprapa:71220.

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209. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
     In: Monash Econometrics and Business Statistics Working Papers.
     RePEc:msh:ebswps:2016-8.

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210. Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland. (2016). Molnár, Peter ; Lyócsa, Štefan ; Fedorko, Igor.
     In: Czech Journal of Economics and Finance (Finance a uver).
     RePEc:fau:fauart:v:66:y:2016:i:5:p:453-475.

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211. Fluctuation behavior analysis of international crude oil and gasoline price based on complex network perspective. (2016). Tian, Zihao ; Chen, Ying ; Jiang, Shumin ; Du, Ruijin ; Wang, Minggang.
     In: Applied Energy.
     RePEc:eee:appene:v:175:y:2016:i:c:p:109-127.

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212. Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc.
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     RePEc:cor:louvco:2016041.

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213. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
     In: CREATES Research Papers.
     RePEc:aah:create:2016-10.

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1. The signal and the noise volatilities. (2019). Chaker, Selma.
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   RePEc:eee:riibaf:v:50:y:2019:i:c:p:79-105.

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2. Combining statistical intervals and market prices: The worst case state price distribution. (2019). Mykland, Per Aslak.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:212:y:2019:i:1:p:272-285.

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3. Volatility forecasting: Global economic policy uncertainty and regime switching. (2018). Yu, Miao ; Song, Jinguo.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:511:y:2018:i:c:p:316-323.

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4. Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Zhang, Yaojie ; Lai, Xiaodong ; Ma, Feng ; Huang, Dengshi.
   In: Energy Economics.
   RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

   Full description at Econpapers || Download paper

5. Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Zhang, Yaojie ; Li, YU ; Liu, LI ; Ma, Feng.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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6. Forecasting the aggregate oil price volatility in a data-rich environment. (2018). Zhang, Yaojie ; Wahab, M. I. M., ; Liu, Jing ; Ma, Feng.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332.

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7. Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility. (2017). Tse, Yiu-Kuen ; Dong, Yingjie.
   In: Econometrics.
   RePEc:gam:jecnmx:v:5:y:2017:i:4:p:51-:d:118613.

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8. Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH. (2017). Vortelinos, Dimitrios I.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:39:y:2017:i:pb:p:824-839.

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9. The price of variance risk. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Rodriguez, Marius ; Le, An H.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:123:y:2017:i:2:p:225-250.

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10. Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Wahab, M. I. M., ; Ma, Feng ; Huang, Dengshi.
    In: Energy Economics.
    RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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11. Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe.
    In: EconomiX Working Papers.
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12. High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F.
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13. Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio.
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15. Do We Need High Frequency Data to Forecast Variances?. (2016). Laurent, Sébastien ; Hurlin, Christophe ; Candelon, Bertrand ; BANULESCU-RADU, Denisa.
    In: Post-Print.
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16. Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
    In: Journal of Econometrics.
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17. High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F.
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18. Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data. (2015). Caldeira, Joo F ; Ziegelmann, Flavio Augusto ; Borges, Bruna.
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19. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
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20. Do We Need Ultra-High Frequency Data to Forecast Variances?. (2014). Laurent, Sébastien ; Hurlin, Christophe ; Candelon, Bertrand ; BANULESCU-RADU, Denisa.
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21. Estimating and using GARCH models with VIX data for option valuation. (2014). Lin, Binghuan ; Kanniainen, Juho ; Yang, Hanxue .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:43:y:2014:i:c:p:200-211.

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22. The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range. (2014). Soucek, Michael ; Todorova, Neda ; Souek, Michael .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:36:y:2014:i:c:p:332-340.

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23. Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes. (2013). Patton, Andrew ; Liu, Lily ; Sheppard, Kevin.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:645.

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24. Realizing smiles: Options pricing with realized volatility. (2013). Corsi, Fulvio ; Fusari, Nicola ; la Vecchia, Davide.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:2:p:284-304.

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25. Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach. (2013). Soucek, Michael ; Todorova, Neda ; Souek, Michael .
    In: Energy Economics.
    RePEc:eee:eneeco:v:40:y:2013:i:c:p:586-597.

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26. Forecasting volatility with the realized range in the presence of noise and non-trading. (2013). van Dijk, Dick ; Martens, Martin ; Bannouh, Karim .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:535-551.

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27. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
    In: Papers.
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28. Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model. (2012). Ranaldo, Angelo ; Caporin, Massimiliano ; Bonato, Matteo.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2012:11.

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29. Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling. (2012). Corsi, Fulvio.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:30:y:2012:i:3:p:368-380.

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30. Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading. (2012). van Dijk, Dick ; van Dijk, D. J. C., ; Martens, M. P. E., ; Bannouh, K..
    In: ERIM Report Series Research in Management.
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31. Probabilistic forecasts of volatility and its risk premia. (2012). Martin, Gael ; Forbes, Catherine ; Maneesoonthorn, Worapree ; Grose, Simone D..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:171:y:2012:i:2:p:217-236.

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32. Can Internet search queries help to predict stock market volatility?. (2011). Jank, Stephan ; Dimpfl, Thomas.
    In: University of Tübingen Working Papers in Business and Economics.
    RePEc:zbw:tuewef:18.

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33. Can internet search queries help to predict stock market volatility?. (2011). Jank, Stephan ; Dimpfl, Thomas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1115.

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34. Predictive Inference for Integrated Volatility. (2011). Swanson, Norman ; Distaso, Walter ; Corradi, Valentina.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201109.

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35. Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios. (2011). Skoulakis, Georgios ; Bakshi, Gurdip ; Panayotov, George.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:100:y:2011:i:3:p:475-495.

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36. Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets. (2011). Yang, Minxian ; Wang, Jianxin.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:14:y:2011:i:1:p:82-108.

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37. Integrated variance forecasting: Model based vs. reduced form. (2011). Sizova, Natalia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:294-311.

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38. Data-based ranking of realised volatility estimators. (2011). Patton, Andrew.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:284-303.

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39. Volatility forecasting and microstructure noise. (2011). Ghysels, Eric ; Sinko, Arthur.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:257-271.

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40. Realized volatility forecasting and market microstructure noise. (2011). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:220-234.

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41. Forecasting volatility: does continuous time do better than discrete time?. (2011). Veiga, Helena ; Breto, Carles.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws112518.

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42. Zero-intelligence realized variance estimation. (2010). Oomen, Roel ; Gatheral, Jim.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:14:y:2010:i:2:p:249-283.

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43. Threshold bipower variation and the impact of jumps on volatility forecasting. (2010). Reno, Roberto ; Corsi, Fulvio ; Pirino, Davide.
    In: Post-Print.
    RePEc:hal:journl:peer-00741630.

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44. Threshold bipower variation and the impact of jumps on volatility forecasting. (2010). Renò, Roberto ; Pirino, Davide ; Corsi, Fulvio ; Reno, Roberto.
    In: Post-Print.
    RePEc:hal:journl:hal-00741630.

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45. Threshold bipower variation and the impact of jumps on volatility forecasting. (2010). Renò, Roberto ; Pirino, Davide ; Corsi, Fulvio ; Reno, Roberto.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:2:p:276-288.

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46. A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196.

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47. Volatility Forecasting: The Jumps Do Matter. (2009). Renò, Roberto ; Corsi, Fulvio ; Pirino, Davide.
    In: Global COE Hi-Stat Discussion Paper Series.
    RePEc:hst:ghsdps:gd08-036.

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48. Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology. (2009). Mancino, Maria Elvira ; Sanfelici, Simona ; Elvira, Mancino Maria .
    In: Working Papers - Mathematical Economics.
    RePEc:flo:wpaper:2009-09.

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49. Volatility forecasting: the jumps do matter. (2008). Renò, Roberto ; Corsi, Fulvio ; Reno, Roberto ; Pirino, Davide.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:534.

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50. Realized volatility forecasting and option pricing. (2008). Russell, Jeffrey R. ; Bandi, Federico M. ; Yang, Chen.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:34-46.

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