Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures

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Measuring Downside Risk - Realised Semivariance (2008, background): “Of course, it would not stop us from testing things based on the time series dynamics of the process - see the work of Corradi and Distaso (2006).”
Forecasting Volatility Using High-Frequency Data (2011, background): “In particular, Barndorff-Nielsen and Shephard (2002a), Bollerslev and Zhou (2002), Meddahi (2003) and Corradi and Distaso (2006) have shown how realized measures can be used to estimate the parameters in these models.”
Realized Volatility: A Review (2008, background): “In a recent article, Corradi and Distaso (2006) proposed a procedure to test for the correct specification of the functional form of the volatility process based on the class of eigenfunction stochastic volatility models of Meddahi (2001).”
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2009, methodology): “To proceed we use the fact that ẑ(t) p → z(t) for every t (Jacod and Shiryaev (2003), Barndorff-Nielsen et al.”
Realising the future: forecasting with high frequency based volatility (HEAVY) models (2010, background): “Corradi and Distaso (2006) , and Christensen and Podolskij (2007).”