References needed by the model cards but absent from paper/references.bib
Only keys present in paper/references.bib (205 verified entries) are cited in the cards. The following items would be needed for a complete citation of the implemented definitions and are marked "reference to be added" in the cards. They must go through scripts/build_references.py (Crossref/arXiv/OpenAlex verification) before use.
| Needed for | Item | Where it would be cited |
|---|---|---|
loghar_rv |
Duan, N. (1983), "Smearing estimate: a nonparametric retransformation method", JASA 78(383), 605–610 — the smearing factor used to back-transform log-HAR forecasts (baselines.HARRV, aux["smear"]). |
loghar_rv.md §1, §2 |
har_rv, loghar_rv |
A reference for direct (vs iterated) multi-step projections, e.g. Marcellino, Stock & Watson (2006), "A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series", Journal of Econometrics 135. The code uses one direct OLS regression per horizon. | har_rv.md §1, §6 |
hygarch11 |
Conrad, C. (2007/2010), positivity constraints for HYGARCH (mentioned as "Conrad 2007 SSRN, not cited" in docs/literature_matrix.md). |
hygarch11.md §1 |
figarch11 |
Chung (1999) FIGARCH re-parameterisation — already recorded as unverified in docs/literature_matrix.md and results/metrics/references_unverified.json; not cited. |
figarch11.md §1 |
avgarch11 |
Taylor (1986), Modelling Financial Time Series, 1st ed. (Wiley) — no verified record; the cards cite the 2nd edition taylor2008modelling as the matrix prescribes. |
avgarch11.md §1 |
rm2006 |
Zumbach (2007), The RiskMetrics 2006 Methodology, RiskMetrics Group technical document — the registry key zumbach2007riskmetrics does not exist; the verified SSRN posting is zumbach2009riskmetrics (used in the card). Either add the 2007 technical document or change the registry key. |
rm2006.md §1 |
stgarch |
Registry key gonzalez1998smooth does not exist; the verified key is gonzalezrivera1998smooth (used). Registry key to be corrected rather than a reference to be added. |
stgarch.md §1 |
realegarch11 |
Registry key hansen2016realized does not exist; the verified key is hansen2016exponential (used). Registry key to be corrected. |
realegarch11.md §1 |
msgarch2 |
No additional reference needed, but the exactness of the multi-step recursion should be checked against the forecasting section of haas2004new (see _discrepancies.md, item 6). |
msgarch2.md §6 |