spb/wp12_uqo

1key,year,doi_in_bib,status,sim,crossref_doi,crossref_title,crossref_container,crossref_year,crossref_volume,crossref_issue,crossref_pages2AndersenBollerslev1998,1998,,OK,1.00,10.2307/2527343,"Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts",International Economic Review,1998,39,4,8853ABDL2001,2001,,OK,1.00,10.2139/ssrn.267791,The Distribution of Realized Exchange Rate Volatility,,2001,,,4ABDL2003,2003,,OK,1.00,10.3386/w8160,Modeling and Forecasting Realized Volatility,,2001,,,5ABDE2001,2001,,OK,1.00,10.1016/s0304-405x(01)00055-1,The distribution of realized stock return volatility,Journal of Financial Economics,2001,61,1,43-766ABD2007,2007,,OK,1.00,10.1162/rest.89.4.701,"Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility",Review of Economics and Statistics,2007,89,4,701-7207BNS2002,2002,,OK,1.00,10.1093/oso/9780199257195.003.0017,Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models,Stochastic Volatility,2005,,,480-5148BNS2004,2004,,OK,1.00,10.1093/jjfinec/nbh001,Power and Bipower Variation with Stochastic Volatility and Jumps,Journal of Financial Econometrics,2004,2,1,1-379BNS2006,2006,,OK,1.00,10.1093/jjfinec/nbi022,Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation,Journal of Financial Econometrics,2005,4,1,1-3010BNHLS2008,2008,,OK,1.00,10.3982/ecta6495,Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise,Econometrica,2008,76,6,1481-153611BNHLS2009,2009,,OK,1.00,10.1111/j.1368-423x.2008.00275.x,Realized kernels in practice: trades and quotes,The Econometrics Journal,2009,12,3,C1-C3212BNKS2010,2010,,OK,0.97,10.2139/ssrn.1262194,Measuring Downside Risk - Realised Semivariance,,2008,,,13ZMA2005,2005,,OK,0.99,10.3386/w10111,A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data,,2003,,,14HansenLunde2006,2006,,OK,1.00,10.2139/ssrn.506542,Realized Variance and Market Microstructure Noise,,2004,,,15BandiRussell2008,2008,,OK,1.00,10.1111/j.1467-937x.2008.00474.x,"Microstructure Noise, Realized Variance, and Optimal Sampling",Review of Economic Studies,2008,75,2,339-36916LiuPattonSheppard2015,2015,,OK,1.00,10.2139/ssrn.2214997,Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes,SSRN Electronic Journal,2012,,,17Corsi2009,2009,,OK,1.00,10.1093/jjfinec/nbp001,A Simple Approximate Long-Memory Model of Realized Volatility,Journal of Financial Econometrics,2008,7,2,174-19618CorsiPirinoReno2010,2010,,OK,1.00,10.2139/ssrn.1115783,Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting,,2008,,,19PattonSheppard2015,2015,,OK,1.00,10.1162/rest_a_00503,"Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility",Review of Economics and Statistics,2015,97,3,683-69720BPQ2016,2016,,OK,1.00,10.1016/j.jeconom.2015.10.007,Exploiting the errors: A simple approach for improved volatility forecasting,Journal of Econometrics,2016,192,1,1-1821Engle1982,1982,,OK,1.00,10.1093/oso/9780198774310.003.0001,Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,Arch,1995,,,1-2322Bollerslev1986,1986,,OK,1.00,10.1093/oso/9780198774310.003.0003,Generalized Autoregressive Conditional Heteroskedasticity,Arch,1995,,,42-6023Nelson1991,1991,,OK,1.00,10.1093/oso/9780198774310.003.0005,Conditional Heteroskedasticity in Asset Returns: A New Approach,Arch,1995,,,87-11324GJR1993,1993,,OK,1.00,10.1111/j.1540-6261.1993.tb05128.x,On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,The Journal of Finance,1993,48,5,1779-180125HansenLunde2005,2005,,OK,1.00,10.2139/ssrn.264571,"A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?",,2001,,,26HansenHuangShek2012,2012,,OK,1.00,10.1002/jae.1234,Realized GARCH: a joint model for returns and realized measures of volatility,Journal of Applied Econometrics,2012,27,6,877-90627Patton2011,2011,,OK,1.00,10.2139/ssrn.932890,Volatility Forecast Comparison Using Imperfect Volatility Proxies,,2010,,,28DieboldMariano1995,1995,,OK,1.00,10.3386/t0169,Comparing Predictive Accuracy,,1994,,,29GiacominiWhite2006,2006,,OK,1.00,10.1111/j.1468-0262.2006.00718.x,Tests of Conditional Predictive Ability,Econometrica,2006,74,6,1545-157830HLN2011,2011,,OK,1.00,10.2139/ssrn.522382,The Model Confidence Set,,2004,,,31GiacominiRossi2010,2010,,OK,1.00,10.1002/jae.1177,Forecast comparisons in unstable environments,Journal of Applied Econometrics,2010,25,4,595-62032MincerZarnowitz1969,1969,,CHECK,0.51,10.2307/1913868,Economic Forecasts and Expectations,Econometrica,1972,40,6,117233HarveyLeybourneNewbold1998,1998,,OK,0.87,10.1002/1099-1255(200009/10)15:5<471::aid-jae567>3.0.co;2-x,Tests for multiple forecast encompassing,Journal of Applied Econometrics,2000,15,5,471-48234BatesGranger1969,1969,,OK,1.00,10.2307/3008764,The Combination of Forecasts,OR,1969,20,4,45135Timmermann2006,2006,,OK,1.00,10.2139/ssrn.1609530,Forecast Combinations,SSRN Electronic Journal,2010,,,36PolitisRomano1994,1994,,CHECK,0.51,10.1016/b978-044451378-6/50029-6,Locally Stationary Processes and the Local Block Bootstrap,Recent Advances and Trends in Nonparametric Statistics,2003,,,437-44437FKO2001,2001,,OK,1.00,10.2139/ssrn.205676,The Economic Value of Volatility Timing,,2000,,,38FKO2003,2003,,OK,0.97,10.2139/ssrn.276921,The Economic Value of Volatility Timing Using 'Realized' Volatility,,2001,,,39Kupiec1995,1995,,OK,1.00,10.3905/jod.1995.407942,Techniques for Verifying the Accuracy of Risk Measurement Models,The Journal of Derivatives,1995,3,2,73-8440Christoffersen1998,1998,,OK,1.00,10.2307/2527341,Evaluating Interval Forecasts,International Economic Review,1998,39,4,84141Bucci2020,2020,,OK,1.00,10.1093/jjfinec/nbaa008,Realized Volatility Forecasting with Neural Networks,Journal of Financial Econometrics,2020,18,3,502-53142ChristensenSiggaardVeliyev2023,2023,,OK,1.00,10.1093/jjfinec/nbac020,A Machine Learning Approach to Volatility Forecasting,Journal of Financial Econometrics,2023,21,5,1680-172743GuKellyXiu2020,2020,,OK,1.00,10.3386/w25398,Empirical Asset Pricing via Machine Learning,,2018,,,44AudrinoKnaus2016,2016,,OK,1.00,10.2139/ssrn.2340051,Lassoing the Har Model: A Model Selection Perspective on Realized Volatility Dynamics,SSRN Electronic Journal,2013,,,45RahimikiaPoon2020,2020,,OK,1.00,10.2139/ssrn.4857569,Machine Learning for Realised Volatility Forecasting,,2024,,,46Katsiampa2017,2017,,OK,1.00,10.1016/j.econlet.2017.06.023,Volatility estimation for Bitcoin: A comparison of GARCH models,Economics Letters,2017,158,,3-647Duan1983,1983,,OK,1.00,10.1080/01621459.1983.10478017,Smearing Estimate: A Nonparametric Retransformation Method,Journal of the American Statistical Association,1983,78,383,605-61048HochreiterSchmidhuber1997,1997,,OK,1.00,10.1162/neco.1997.9.8.1735,Long Short-Term Memory,Neural Computation,1997,9,8,1735-178049Vaswani2017,2017,,OK,1.00,10.65215/r5bs2d54,Attention Is All You Need,,2025,,,50LundbergLee2017,2017,,CHECK,0.50,10.32920/22734407,Interpreting Uncertainty in Model Predictions for Covid-19 Diagnosis,,2023,,,51Breiman2001,2001,,OK,1.00,10.1023/a:1010933404324,Random Forests,Machine Learning,2001,45,1,5-3252ChenGuestrin2016,2016,,CHECK,0.30,10.1145/2939672.2939785,XGBoost,Proceedings of the 22nd ACM SIGKDD International Conference ,2016,,,785-79453Ke2017,2017,,CHECK,0.60,10.1109/spw63631.2024.00015,NodeGuard: A Highly Efficient Two-Party Computation Framework for Training Large-Scale Gradient Boosting Decision Tree,2024 IEEE Security and Privacy Workshops (SPW),2024,,,95-10354Tibshirani1996,1996,,OK,1.00,10.1111/j.2517-6161.1996.tb02080.x,Regression Shrinkage and Selection Via the Lasso,Journal of the Royal Statistical Society Series B: Statistic,1996,58,1,267-28855ZouHastie2005,2005,,OK,1.00,10.1111/j.1467-9868.2005.00503.x,Regularization and Variable Selection Via the Elastic Net,Journal of the Royal Statistical Society Series B: Statistic,2005,67,2,301-32056NeweyWest1987,1987,,OK,1.00,10.2307/1913610,"A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix",Econometrica,1987,55,3,70357Mueller1997,1997,,OK,0.98,10.1016/s0927-5398(97)00007-8,Volatilities of different time resolutions — Analyzing the dynamics of market components,Journal of Empirical Finance,1997,4,2-3,213-23958PoonGranger2003,2003,,OK,1.00,10.1257/jel.41.2.478,Forecasting Volatility in Financial Markets: A Review,Journal of Economic Literature,2003,41,2,478-53959