Optimal combinations of realised volatility estimators

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Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction (2013, unknown): “…empirical forecasting literature which has shown in diverse scenarios, other than VaR, that the simple equal-weight combination is rather effective in out-of-sample evaluations (e.g. Patton and Sheppard, 2009) even though weight estimates from optimal combination methods often do not bear it out.”
A Comprehensive Look at Financial Volatility Prediction by Economic Variables (2011, unknown): “Our results are based on the GLS version of the Mincer-Zarnowitz test suggested by Patton and Sheppard (2009).”
Combination of long term and short term forecasts, with application to tourism demand forecasting (2011, background): “…mean has rarely been considered in the forecast combination literature, and has mostly been applied in special situations, such as volatility forecasting (Patton & Sheppard, 2009), combining forecast densities (Faria & Mubwandarikwa, 2008), and grey forecasting (Chen, Ding, & Zhang, 2007).”
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2015, unknown): “Simulation results in Patton and Sheppard (2009a), and empirical results in Hansen and Lunde (2005), Patton and Sheppard (2009b) and Patton (2011a) suggest that tests based on MSE have lower power than under QLIKE, and our results are consistent with this: under MSE we continue to find no cases…”