
@Article{ghysels_2007,
  author    = {Ghysels, Eric and Sinko, Arthur and Valkanov, Rossen},
  journal   = {Econometric Reviews},
  title     = {{MIDAS} regressions: Further results and new directions},
  year      = {2007},
  number    = {1},
  pages     = {53--90},
  volume    = {26},
  doi		= {10.1080/07474930600972467}
}

@TechReport{heber_2009,
  author      = {Heber, G. and Lunde, A. and Shephard, N. and Sheppard, K.},
  title       = {OMI's realised library, version 0.1},
  institution = {Oxford--Man Institute, University of Oxford},
  year        = {2009},
}

@Article{almon_1965,
  title={The distributed lag between capital appropriations and expenditures},
  author={Almon, Shirley},
  journal={Econometrica: Journal of the Econometric Society},
  pages={178--196},
  year={1965},
  publisher={JSTOR},
 doi={10.2307/1911894}
}


@Article{andersen_boll_1998,
  Title                    = {Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts},
  Author                   = {Andersen, Torben G. and Bollerslev, Tim},
  Year                     = {1998},
  Pages                    = {885--905},
  Volume                   = {39},
  Journal                  = {International Economic Review},
  doi 					   = {10.2307/2527343} 
}

@Article{conrad_lock_2015,
  author    = {Conrad, Christian and Loch, Karin},
  journal   = {Journal of Applied Econometrics},
  title     = {Anticipating Long-Term Stock Market Volatility},
  year      = {2015},
  number    = {7},
  pages     = {1090--1114},
  volume    = {30},
  publisher = {Wiley Online Library},
  doi		= {10.1002/jae.2404}
}

@Article{amendola_candila_scognamillo_2017,
  author   = {Amendola, Alessandra and Candila, Vincenzo and Scognamillo, Antonio},
  journal  = {Empirical Economics},
  title    = {On the influence of {US} monetary policy on crude oil price volatility},
  year     = {2017},
  number   = {1},
  pages    = {155--178},
  volume   = {52},
  doi      = {10.1007/s00181-016-1069-5}
}

@article{cappiello2006asymmetric,
  title={Asymmetric dynamics in the correlations of global equity and bond returns},
  author={Cappiello, Lorenzo and Engle, Robert F and Sheppard, Kevin},
  journal={Journal of Financial Econometrics},
  volume={4},
  number={4},
  pages={537--572},
  year={2006},
  publisher={Oxford University Press},
  doi={10.1093/jjfinec/nbl005}
}

@Article{engle_ghysels_sohn_2013,
  author    = {Engle, Robert F and Ghysels, Eric and Sohn, Bumjean},
  journal   = {Review of Economics and Statistics},
  title     = {Stock market volatility and macroeconomic fundamentals},
  year      = {2013},
  number    = {3},
  pages     = {776--797},
  volume    = {95},
  publisher = {MIT Press},
  doi		= {10.1162/REST_a_00300}
}

@Article{dcc_engle_2002,
  title={Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models},
  author={Engle, Robert},
  journal={Journal of Business & Economic Statistics},
  volume={20},
  number={3},
  pages={339--350},
  year={2002},
  publisher={Taylor \& Francis},
  doi={10.1198/073500102288618487}
}

@Article{engle2012dynamic,
  title={Dynamic equicorrelation},
  author={Engle, Robert and Kelly, Bryan},
  journal={Journal of Business & Economic Statistics},
  volume={30},
  number={2},
  pages={212--228},
  year={2012},
  publisher={Taylor \& Francis},
  doi={10.1080/07350015.2011.652048}
}

@Article{aielli2013dynamic,
  title={Dynamic conditional correlation: on properties and estimation},
  author={Aielli, Gian Piero},
  journal={Journal of Business & Economic Statistics},
  volume={31},
  number={3},
  pages={282--299},
  year={2013},
  publisher={Taylor \& Francis},
doi={10.1080/07350015.2013.771027}
}

@Article{colacito2011component,
  title={A component model for dynamic correlations},
  author={Colacito, Riccardo and Engle, Robert F and Ghysels, Eric},
  journal={Journal of Econometrics},
  volume={164},
  number={1},
  pages={45--59},
  year={2011},
  publisher={Elsevier},
doi={10.1016/j.jeconom.2011.02.013}
}

@Article{Bollerslev_Wooldridge_1992,
  author  = {Bollerslev, Tim and Wooldridge, Jeffrey M.},
  journal = {Econometric Reviews},
  title   = {Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances},
  year    = {1992},
  pages   = {143--172},
  volume  = {11},
  doi     = {10.1080/07474939208800229}
}

@article{amendola_candila_gallo_2019,
  title={On the asymmetric impact of macro--variables on volatility},
  author={Amendola, Alessandra and Candila, Vincenzo and Gallo, Giampiero M.},
  journal={Economic Modelling},
  volume={76},
  pages={135--152},
  year={2019},
  publisher={Elsevier},
  doi = {10.1016/j.econmod.2018.07.025}
}

@Article{amendola_2020,
title = "A Model Confidence Set approach to the combination of multivariate volatility forecasts",
journal = "International Journal of Forecasting",
volume = "36",
number = "3",
pages = "873 - 891",
year = "2020",
author = "Alessandra Amendola and Manuela Braione and Vincenzo Candila and Giuseppe Storti",
doi={10.1016/j.ijforecast.2019.10.001}
}

@Article{laurent2013loss,
  title={On loss functions and ranking forecasting performances of multivariate volatility models},
  author={Laurent, S{\'e}bastien and Rombouts, Jeroen VK and Violante, Francesco},
  journal={Journal of Econometrics},
  volume={173},
  number={1},
  pages={1--10},
  year={2013},
  publisher={Elsevier},
  doi={10.1016/j.jeconom.2012.08.004}
}

@article{bollerslev1986generalized,
  title={Generalized autoregressive conditional heteroskedasticity},
  author={Bollerslev, Tim},
  journal={Journal of Econometrics},
  volume={31},
  number={3},
  pages={307--327},
  year={1986},
  publisher={Elsevier},
  doi={10.1016/0304-4076(86)90063-1}
}

@article{nelson1991conditional,
  title={Conditional heteroskedasticity in asset returns: A new approach},
  author={Nelson, Daniel B},
  journal={Econometrica},
  pages={347--370},
  year={1991},
  publisher={JSTOR},
  doi={10.2307/2938260},
  volume={59},
  issue={2}
}

@Incollection{Engle_lee_1999,
  Title                    = {A Long-run and Short-run Component Model of Stock Return Volatility},
  Author                   = {Engle, R. F. and Lee, G. J.},
  Booktitle                = {Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W. J. Granger},
  Editor                   = {R. F. Engle and H. White},
  Year                     = {1999},
  Pages                    = {475--497},
  Publisher                = {Oxford University Press, Oxford}
}


@article{engle1986modelling,
  title={Modelling the persistence of conditional variances},
  author={Engle, Robert F and Bollerslev, Tim},
  journal={Econometric Reviews},
  volume={5},
  number={1},
  pages={1--50},
  year={1986},
  publisher={Taylor \& Francis},
  doi={10.1080/07474938608800095}
}

@article{glosten_1993,
  title={On the relation between the expected value and the volatility of the nominal excess return on stocks},
  author={Glosten, Lawrence R and Jagannathan, Ravi and Runkle, David E},
  journal={The Journal of Finance},
  volume={48},
  number={5},
  pages={1779--1801},
  year={1993},
  publisher={Wiley Online Library},
  doi={10.1111/j.1540-6261.1993.tb05128.x}
}


@Article{henningsen_toomet_2011,
    title = {maxLik: A package for maximum likelihood estimation in {R}},
    author = {Arne Henningsen and Ott Toomet},
    journal = {Computational Statistics},
    year = {2011},
    volume = {26},
    number = {3},
    pages = {443--458},
    doi = {10.1007/s00180-010-0217-1}
  }

@article{amendola2020doubly,
  title={Doubly Multiplicative Error Models with Long-and Short-run Components},
  author={Amendola, Alessandra and Candila, Vincenzo and Cipollini, Fabrizio and Gallo, Giampiero M},
  journal={arXiv preprint arXiv:2006.03458},
  year={2020}
}

@Article{engle_gallo_2006,
  Title                    = {A Multiple Indicators Model for Volatility Using Intra-Daily Data},
  Author                   = {Engle, Robert F. and Gallo, Giampiero M.},
  Year                     = {2006},
  Pages                    = {3--27},
  Volume                   = {131},
  Journal                  = {Journal of Econometrics},
  doi					   = {10.1016/j.jeconom.2005.01.018}
}

@article{amendola_candila_gallo_2020,
  title={Asymmetric GARCH--MIDAS models: further results and e--X--tensions},
  author={Amendola, Alessandra and Candila, Vincenzo and Gallo, Giampiero M.},
  journal={Economic and Statistics}, 
 year={2020+}
}


