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Realized Volatility Forecasting: Robustness to Measurement Errors

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  2. Li, Dan & Drovandi, Christopher & Clements, Adam, 2024. "Outlier-robust methods for forecasting realized covariance matrices," International Journal of Forecasting, Elsevier, vol. 40(1), pages 392-408.
  3. Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024. "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers 202415, University of California at Riverside, Department of Economics.
  4. G. Gallo & D. Lacava & E. Otranto, 2023. "Volatility jumps and the classification of monetary policy announcements," Working Paper CRENoS 202306, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  5. V. Candila & O. Cepni & G. Gallo & R. Gupta, 2024. "Influence of Local and Global Economic Policy Uncertainty on the volatility of US state-level equity returns: Evidence from a GARCH-MIDAS approach with Shrinkage and Cluster Analysis," Working Paper CRENoS 202414, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  6. Shin, Minseok & Kim, Donggyu & Wang, Yazhen & Fan, Jianqing, 2025. "Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations," Journal of Econometrics, Elsevier, vol. 252(PA).
  7. Francesco Audrino & Jonathan Chassot, 2024. "HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning," Papers 2406.08041, arXiv.org.
  8. Yaojie Zhang & Mengxi He & Danyan Wen & Yudong Wang, 2022. "Forecasting Bitcoin volatility: A new insight from the threshold regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 633-652, April.
  9. Fabrizio Cipollini & Giulia Cruciani & Giampiero M. Gallo & Alessandra Insana & Edoardo Otranto & Fabio Spagnolo, 2026. "VOLatility Archive for Realized Estimates (VOLARE)," Papers 2602.19732, arXiv.org.
  10. Clements, Adam & Preve, Daniel P.A., 2021. "A Practical Guide to harnessing the HAR volatility model," Journal of Banking & Finance, Elsevier, vol. 133(C).
  11. Yaojie Zhang & Mengxi He & Yuqi Zhao & Xianfeng Hao, 2023. "Predicting stock realized variance based on an asymmetric robust regression approach," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1022-1047, October.
  12. Cipollini, Fabrizio & Gallo, Giampiero M., 2025. "Multiplicative Error Models: 20 years on," Econometrics and Statistics, Elsevier, vol. 33(C), pages 209-229.
  13. Papantonis, Ioannis & Rompolis, Leonidas & Tzavalis, Elias, 2023. "Improving variance forecasts: The role of Realized Variance features," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1221-1237.
  14. Zhang, Yaojie & He, Mengxi & Wang, Yudong & Wen, Danyan, 2025. "Model specification for volatility forecasting benchmark," International Review of Financial Analysis, Elsevier, vol. 97(C).
  15. Zhang, Chao & Pu, Xingyue & Cucuringu, Mihai & Dong, Xiaowen, 2025. "Forecasting realized volatility with spillover effects: Perspectives from graph neural networks," International Journal of Forecasting, Elsevier, vol. 41(1), pages 377-397.
  16. Amendola, A. & Candila, V. & Cipollini, F. & Gallo, G.M., 2024. "Doubly multiplicative error models with long- and short-run components," Socio-Economic Planning Sciences, Elsevier, vol. 91(C).
  17. Bauwens, Luc & Otranto, Edoardo, 2023. "Realized Covariance Models with Time-varying Parameters and Spillover Effects," LIDAM Discussion Papers CORE 2023019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  18. Shafqat Iqbal & Štefan Lyócsa, 2026. "A Fuzzy Framework for Realized Volatility Prediction: Empirical Evidence From Equity Markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(3), pages 1261-1291, April.
  19. Hwang, Eunju & Jeon, ChanHyeok, 2024. "Nonnegative GARCH-type models with conditional Gamma distributions and their applications," Computational Statistics & Data Analysis, Elsevier, vol. 198(C).
  20. Hwang, Eunju & Hong, Won-Tak, 2021. "A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation," Economics Letters, Elsevier, vol. 203(C).
  21. Demetrio Lacava & Giampiero M. Gallo & Edoardo Otranto, 2022. "Unconventional policies effects on stock market volatility: The MAP approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(5), pages 1245-1265, November.
  22. Lau, Chi Keung Marco & Wojewodzki, Michal & Dai, Xingyu & Wang, Qunwei, 2025. "Detecting the macro drivers in the Australian National Electricity Market asymmetric volatility co-movement," Energy Economics, Elsevier, vol. 143(C).
  23. Naimoli, Antonio & Gerlach, Richard & Storti, Giuseppe, 2022. "Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators," Economic Modelling, Elsevier, vol. 107(C).
  24. Fernandes, Marcelo & Pereira, Murilo A.P., 2025. "Forecasting realized volatility using news flow," The Quarterly Review of Economics and Finance, Elsevier, vol. 104(C).
  25. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.
  26. Luca Scaffidi Domianello & Giampiero M. Gallo & Edoardo Otranto, 2024. "Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 21-43, February.
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