This is a video showing that you can parry the Winter Lantern enemies in the Abyssal Woods in the Realm of Shadows.
I've never been one to parry in this game before. But it wasn't too hard to pull off and the good news is, once they are defeated they do not respawn.
I found it helps to raise the shield as if blocking, and then whilst raised, parry as they go to attack you.
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