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Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors

https://doi.org/10.2139/ssrn.3259862
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25/25 checkable references clean · checked 2026-08-26

Every reference with a DOI or an arXiv id in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

5 with no DOI or arXiv id: not checked. A reference deposited without a DOI is checked only when it names an arXiv id, under that id’s DataCite DOI. The rest are never matched by title or guessed at; they stay outside the checked set, and this line says so.

The 25 checked references that resolve
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Long memory processes and fractional integration in econometrics
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Fractionally integrated generalized autoregressive conditional heteroskedasticity
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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
resolves10.1093/jjfinec/nbh001
Power and Bipower Variation with Stochastic Volatility and Jumps
resolves10.1017/cbo9780511614491.014
How Accurate is the Asymptotic Approximation to the Distribution of Realised Variance?
resolves10.1257/aer.91.2.253
Should Central Banks Respond to Movements in Asset Prices?
resolves10.1080/07474930701853616
The Volatility of Realized Volatility
resolves10.1080/02664760802271017
ARFIMAX and ARFIMAX-TARCH realized volatility modeling
resolves10.1016/j.ribaf.2012.09.001
Modeling CAC40 volatility using ultra-high frequency data
resolves10.1002/asmb.551
Predictability and model selection in the context of ARCH models
resolves10.1111/manc.12001
A <scp>M</scp>onte <scp>C</scp>arlo Simulation Approach to Forecasting Multi‐period <scp>V</scp>alue‐at‐<scp>R</scp>isk and <scp>E</scp>xpected <scp>S</scp>hortfall Using the <scp>FIGARCH</scp>‐<scp>skT</scp> Specification
resolves10.1080/00036840600994039
Rolling-sampled parameters of ARCH and Levy-stable models
resolves10.3386/w3350
Valuation of Variance Forecast with Simulated Option Markets
resolves10.1080/01621459.1998.10474117
On Bayesian Modeling of Fat Tails and Skewness
resolves10.1002/1099-131x(200012)19:7<537::aid-for769>3.0.co;2-g
Economic and statistical measures of forecast accuracy
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On Information and Sufficiency
resolves10.1214/aoms/1177730491
On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
resolves10.1016/S0927-5398(97)00007-8
Volatilities of different time resolutions — Analyzing the dynamics of market components
resolves10.1016/0304-4076(90)90101-x
Alternative models for conditional stock volatility
resolves10.1162/003355303321675473
Measuring The Reaction of Monetary Policy to the Stock Market
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Estimating the Dimension of a Model
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Evaluating volatility forecasts in option pricing in the context of a simulated options market
resolves10.1002/9780470688014
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The 5 references with no DOI or arXiv id, listed, not checked
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no DOI — not checkedref13
no DOI — not checkedref21
no DOI — not checkedref22
no DOI — not checkedref25
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