TY  - JOUR
TI  - Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
AU  - Robert F. Engle
JO  - Econometrica
PY  - 1982
VL  - 50
IS  - 4
DO  - 10.2307/1912773
UR  - https://doi.org/10.2307/1912773
ER  -


TY  - JOUR
TI  - Generalized autoregressive conditional heteroskedasticity
AU  - Tim Bollerslev
JO  - Journal of Econometrics
PY  - 1986
VL  - 31
IS  - 3
DO  - 10.1016/0304-4076(86)90063-1
UR  - https://doi.org/10.1016/0304-4076(86)90063-1
ER  -


TY  - JOUR
TI  - Comparing Predictive Accuracy
AU  - Francis X. Diebold
AU  - Roberto S. Mariano
JO  - Journal of Business & Economic Statistics
PY  - 1995
VL  - 13
IS  - 3
DO  - 10.1080/07350015.1995.10524599
UR  - https://doi.org/10.1080/07350015.1995.10524599
ER  -


TY  - JOUR
TI  - Tests of Conditional Predictive Ability
AU  - Raffaella Giacomini
AU  - Halbert White
JO  - Econometrica
PY  - 2006
VL  - 74
IS  - 6
DO  - 10.1111/j.1468-0262.2006.00718.x
UR  - https://doi.org/10.1111/j.1468-0262.2006.00718.x
ER  -


TY  - JOUR
TI  - Modeling and Forecasting Realized Volatility
AU  - Torben G. Andersen
AU  - Tim Bollerslev
AU  - Francis X. Diebold
AU  - Paul Labys
JO  - Econometrica
PY  - 2003
VL  - 71
IS  - 2
DO  - 10.1111/1468-0262.00418
UR  - https://doi.org/10.1111/1468-0262.00418
ER  -


TY  - JOUR
TI  - Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
AU  - Ole E. Barndorff-Nielsen
AU  - Neil Shephard
JO  - Journal of the Royal Statistical Society Series B: Statistical Methodology
PY  - 2002
VL  - 64
IS  - 2
DO  - 10.1111/1467-9868.00336
UR  - https://doi.org/10.1111/1467-9868.00336
ER  -


TY  - JOUR
TI  - A Tale of Two Time Scales
AU  - Lan Zhang
AU  - Per A Mykland
AU  - Yacine Aït-Sahalia
JO  - Journal of the American Statistical Association
PY  - 2005
VL  - 100
IS  - 472
DO  - 10.1198/016214505000000169
UR  - https://doi.org/10.1198/016214505000000169
ER  -


TY  - JOUR
TI  - Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
AU  - Ole E. Barndorff-Nielsen
AU  - Peter Reinhard Hansen
AU  - Asger Lunde
AU  - Neil Shephard
JO  - Econometrica
PY  - 2008
VL  - 76
IS  - 6
DO  - 10.3982/ecta6495
UR  - https://doi.org/10.3982/ecta6495
ER  -


TY  - JOUR
TI  - CAViaR
AU  - Robert F Engle
AU  - Simone Manganelli
JO  - Journal of Business & Economic Statistics
PY  - 2004
VL  - 22
IS  - 4
DO  - 10.1198/073500104000000370
UR  - https://doi.org/10.1198/073500104000000370
ER  -


TY  - JOUR
TI  - Dynamic Conditional Correlation
AU  - Robert Engle
JO  - Journal of Business & Economic Statistics
PY  - 2002
VL  - 20
IS  - 3
DO  - 10.1198/073500102288618487
UR  - https://doi.org/10.1198/073500102288618487
ER  -


TY  - JOUR
TI  - Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
AU  - John Y. Campbell
AU  - Samuel B. Thompson
JO  - Review of Financial Studies
PY  - 2008
VL  - 21
IS  - 4
DO  - 10.1093/rfs/hhm055
UR  - https://doi.org/10.1093/rfs/hhm055
ER  -


TY  - JOUR
TI  - A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
AU  - Ivo Welch
AU  - Amit Goyal
JO  - Review of Financial Studies
PY  - 2008
VL  - 21
IS  - 4
DO  - 10.1093/rfs/hhm014
UR  - https://doi.org/10.1093/rfs/hhm014
ER  -


TY  - JOUR
TI  - Regression Shrinkage and Selection Via the Lasso
AU  - Robert Tibshirani
JO  - Journal of the Royal Statistical Society Series B: Statistical Methodology
PY  - 1996
VL  - 58
IS  - 1
DO  - 10.1111/j.2517-6161.1996.tb02080.x
UR  - https://doi.org/10.1111/j.2517-6161.1996.tb02080.x
ER  -