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1[2 {3  "key": "andersen2003",4  "doi": "10.1111/1468-0262.00418",5  "title": "Modeling and Forecasting Realized Volatility",6  "journal": "Econometrica",7  "year": 2003,8  "authors": "Andersen, Bollerslev, Diebold, Labys",9  "volume": "71",10  "page": "579-625"11 },12 {13  "key": "bns2004",14  "doi": "10.1093/jjfinec/nbh001",15  "title": "Power and Bipower Variation with Stochastic Volatility and Jumps",16  "journal": "Journal of Financial Econometrics",17  "year": 2004,18  "authors": "Barndorff-Nielsen",19  "volume": "2",20  "page": "1-37"21 },22 {23  "key": "bns2006",24  "doi": "10.1093/jjfinec/nbi022",25  "title": "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation",26  "journal": "Journal of Financial Econometrics",27  "year": 2005,28  "authors": "Barndorff-Nielsen",29  "volume": "4",30  "page": "1-30"31 },32 {33  "key": "corsi2009",34  "doi": "10.1093/jjfinec/nbp001",35  "title": "A Simple Approximate Long-Memory Model of Realized Volatility",36  "journal": "Journal of Financial Econometrics",37  "year": 2008,38  "authors": "Corsi",39  "volume": "7",40  "page": "174-196"41 },42 {43  "key": "bollerslev1986",44  "doi": "10.1016/0304-4076(86)90063-1",45  "title": "Generalized autoregressive conditional heteroskedasticity",46  "journal": "Journal of Econometrics",47  "year": 1986,48  "authors": "Bollerslev",49  "volume": "31",50  "page": "307-327"51 },52 {53  "key": "engle1982",54  "doi": "10.2307/1912773",55  "title": "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation",56  "journal": "Econometrica",57  "year": 1982,58  "authors": "Engle",59  "volume": "50",60  "page": "987"61 },62 {63  "key": "glosten1993",64  "doi": "10.1111/j.1540-6261.1993.tb05128.x",65  "title": "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks",66  "journal": "The Journal of Finance",67  "year": 1993,68  "authors": "GLOSTEN, JAGANNATHAN, RUNKLE",69  "volume": "48",70  "page": "1779-1801"71 },72 {73  "key": "nelson1991",74  "doi": "10.2307/2938260",75  "title": "Conditional Heteroskedasticity in Asset Returns: A New Approach",76  "journal": "Econometrica",77  "year": 1991,78  "authors": "Nelson",79  "volume": "59",80  "page": "347"81 },82 {83  "key": "neweywest1987",84  "doi": "10.2307/1913610",85  "title": "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix",86  "journal": "Econometrica",87  "year": 1987,88  "authors": "Newey, West",89  "volume": "55",90  "page": "703"91 },92 {93  "key": "white1980",94  "doi": "10.2307/1912934",95  "title": "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity",96  "journal": "Econometrica",97  "year": 1980,98  "authors": "White",99  "volume": "48",100  "page": "817"101 },102 {103  "key": "bpq2016",104  "doi": "10.1016/j.jeconom.2015.10.007",105  "title": "Exploiting the errors: A simple approach for improved volatility forecasting",106  "journal": "Journal of Econometrics",107  "year": 2016,108  "authors": "Bollerslev, Patton, Quaedvlieg",109  "volume": "192",110  "page": "1-18"111 },112 {113  "key": "hhs2012",114  "doi": "10.1002/jae.1234",115  "title": "Realized GARCH: a joint model for returns and realized measures of volatility",116  "journal": "Journal of Applied Econometrics",117  "year": 2011,118  "authors": "Hansen, Huang, Shek",119  "volume": "27",120  "page": "877-906"121 },122 {123  "key": "dy2012",124  "doi": "10.1016/j.ijforecast.2011.02.006",125  "title": "Better to give than to receive: Predictive directional measurement of volatility spillovers",126  "journal": "International Journal of Forecasting",127  "year": 2012,128  "authors": "Diebold, Yilmaz",129  "volume": "28",130  "page": "57-66"131 },132 {133  "key": "dy2014",134  "doi": "10.1016/j.jeconom.2014.04.012",135  "title": "On the network topology of variance decompositions: Measuring the connectedness of financial firms",136  "journal": "Journal of Econometrics",137  "year": 2014,138  "authors": "Diebold, Y\u0131lmaz",139  "volume": "182",140  "page": "119-134"141 },142 {143  "key": "patton2011",144  "doi": "10.1016/j.jeconom.2010.03.034",145  "title": "Volatility forecast comparison using imperfect volatility proxies",146  "journal": "Journal of Econometrics",147  "year": 2011,148  "authors": "Patton",149  "volume": "160",150  "page": "246-256"151 },152 {153  "key": "politisromano1994",154  "doi": "10.1080/01621459.1994.10476870",155  "title": "The Stationary Bootstrap",156  "journal": "Journal of the American Statistical Association",157  "year": 1994,158  "authors": "Politis, Romano",159  "volume": "89",160  "page": "1303-1313"161 },162 {163  "key": "zma2005",164  "doi": "10.1198/016214505000000169",165  "title": "A Tale of Two Time Scales",166  "journal": "Journal of the American Statistical Association",167  "year": 2005,168  "authors": "Zhang, Mykland, A\u00eft-Sahalia",169  "volume": "100",170  "page": "1394-1411"171 },172 {173  "key": "bnhls2008",174  "doi": "10.3982/ecta6495",175  "title": "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise",176  "journal": "Econometrica",177  "year": 2008,178  "authors": "",179  "volume": "76",180  "page": "1481-1536",181  "publisher": "The Econometric Society"182 },183 {184  "key": "jacod2009",185  "doi": "10.1016/j.spa.2008.11.004",186  "title": "Microstructure noise in the continuous case: The pre-averaging approach",187  "journal": "Stochastic Processes and their Applications",188  "year": 2009,189  "authors": "Jacod, Li, Mykland, Podolskij, Vetter",190  "volume": "119",191  "page": "2249-2276",192  "publisher": "Elsevier BV"193 },194 {195  "key": "engle2002",196  "doi": "10.1198/073500102288618487",197  "title": "Dynamic Conditional Correlation",198  "journal": "Journal of Business &amp; Economic Statistics",199  "year": 2002,200  "authors": "Engle",201  "volume": "20",202  "page": "339-350"203 },204 {205  "key": "nss2012",206  "doi": "10.1002/jae.1260",207  "title": "Multivariate high\u2010frequency\u2010based volatility (HEAVY) models",208  "journal": "Journal of Applied Econometrics",209  "year": 2011,210  "authors": "Noureldin, Shephard, Sheppard",211  "volume": "27",212  "page": "907-933"213 },214 {215  "key": "egs2013",216  "doi": "10.1162/rest_a_00300",217  "title": "Stock Market Volatility and Macroeconomic Fundamentals",218  "journal": "Review of Economics and Statistics",219  "year": 2013,220  "authors": "Engle, Ghysels, Sohn",221  "volume": "95",222  "page": "776-797"223 },224 {225  "key": "hansenlunde2005",226  "doi": "10.1002/jae.800",227  "title": "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?",228  "journal": "Journal of Applied Econometrics",229  "year": 2005,230  "authors": "Hansen, Lunde",231  "volume": "20",232  "page": "873-889"233 },234 {235  "key": "lps2015",236  "doi": "10.1016/j.jeconom.2015.02.008",237  "title": "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes",238  "journal": "Journal of Econometrics",239  "year": 2015,240  "authors": "Liu, Patton, Sheppard",241  "volume": "187",242  "page": "293-311"243 },244 {245  "key": "boudt2022",246  "doi": "10.18637/jss.v104.i08",247  "title": "Analyzing Intraday Financial Data in <i>R</i>: The <b>highfrequency</b> Package",248  "journal": "Journal of Statistical Software",249  "year": 2022,250  "authors": "Boudt, Kleen, Sj\u00f8rup",251  "volume": "104",252  "page": null253 },254 {255  "key": "dieboldmariano1995",256  "doi": "10.1198/073500102753410444",257  "title": "Comparing Predictive Accuracy",258  "journal": "Journal of Business &amp; Economic Statistics",259  "year": 2002,260  "authors": "Diebold, Mariano",261  "volume": "20",262  "page": "134-144"263 },264 {265  "key": "hansen2011mcs",266  "doi": "10.1046/j.0305-9049.2003.00086.x",267  "title": "Choosing the Best Volatility Models: The Model Confidence Set Approach*",268  "journal": "Oxford Bulletin of Economics and Statistics",269  "year": 2003,270  "authors": "Hansen, Lunde, Nason",271  "volume": "65",272  "page": "839-861"273 },274 {275  "key": "cameron2011",276  "doi": "10.1198/jbes.2010.07136",277  "title": "Robust Inference With Multiway Clustering",278  "journal": "Journal of Business &amp; Economic Statistics",279  "year": 2011,280  "authors": "Cameron, Gelbach, Miller",281  "volume": "29",282  "page": "238-249"283 },284 {285  "key": "aldrich2011",286  "doi": "10.1016/j.jedc.2010.10.001",287  "title": "Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors",288  "journal": "Journal of Economic Dynamics and Control",289  "year": 2011,290  "authors": "Aldrich, Fern\u00e1ndez-Villaverde, Ronald Gallant, Rubio-Ram\u00edrez",291  "volume": "35",292  "page": "386-393"293 },294 {295  "key": "pattonsheppard2015",296  "doi": "10.1162/rest_a_00503",297  "title": "Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility",298  "journal": "Review of Economics and Statistics",299  "year": 2015,300  "authors": "Patton, Sheppard",301  "volume": "97",302  "page": "683-697"303 },304 {305  "key": "bnks2010",306  "doi": "10.1093/acprof:oso/9780199549498.003.0007",307  "title": "Measuring Downside Risk \u2013 Realized Semivariance*",308  "journal": "Volatility and Time Series Econometrics",309  "year": 2010,310  "authors": "Barndorff\u2010Nielsen, Kinnebrock, Shephard",311  "volume": null,312  "page": "117-136",313  "publisher": "Oxford University Press"314 },315 {316  "key": "abd2007",317  "doi": "10.1162/rest.89.4.701",318  "title": "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility",319  "journal": "Review of Economics and Statistics",320  "year": 2007,321  "authors": "Andersen, Bollerslev, Diebold",322  "volume": "89",323  "page": "701-720"324 },325 {326  "key": "huangtauchen2005",327  "doi": "10.1093/jjfinec/nbi025",328  "title": "The Relative Contribution of Jumps to Total Price Variance",329  "journal": "Journal of Financial Econometrics",330  "year": 2005,331  "authors": "Huang",332  "volume": "3",333  "page": "456-499"334 },335 {336  "key": "pesaranshin1998",337  "doi": "10.1016/s0165-1765(97)00214-0",338  "title": "Generalized impulse response analysis in linear multivariate models",339  "journal": "Economics Letters",340  "year": 1998,341  "authors": "Pesaran, Shin",342  "volume": "58",343  "page": "17-29"344 },345 {346  "key": "kahan1965",347  "doi": "10.1145/363707.363723",348  "title": "Pracniques: further remarks on reducing truncation errors",349  "journal": "Communications of the ACM",350  "year": 1965,351  "authors": "Kahan",352  "volume": "8",353  "page": "40"354 },355 {356  "key": "blackford2002",357  "doi": "10.1145/567806.567807",358  "title": "An updated set of basic linear algebra subprograms (BLAS)",359  "journal": "ACM Transactions on Mathematical Software",360  "year": 2002,361  "authors": "",362  "volume": "28",363  "page": "135-151"364 },365 {366  "key": "fiorentini1996",367  "doi": "10.1002/(sici)1099-1255(199607)11:4<399::aid-jae401>3.0.co;2-r",368  "title": "Analytic derivatives and the computation of GARCH estimates",369  "journal": "Journal of Applied Econometrics",370  "year": 1996,371  "authors": "Fiorentini, Calzolari, Panattoni",372  "volume": "11",373  "page": "399-417"374 },375 {376  "key": "bollerslevwooldridge1992",377  "doi": "10.1080/07474939208800229",378  "title": "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances",379  "journal": "Econometric Reviews",380  "year": 1992,381  "authors": "Bollerslev, Wooldridge",382  "volume": "11",383  "page": "143-172"384 },385 {386  "key": "ghalanos_rugarch",387  "doi": "10.32614/cran.package.rugarch",388  "title": "rugarch: Univariate GARCH Models",389  "journal": "CRAN: Contributed Packages",390  "year": 2011,391  "authors": "Galanos",392  "volume": null,393  "page": null,394  "publisher": "The R Foundation"395 }396]
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