Details about Francesco Audrino

Access statistics for papers by Francesco Audrino.

Last updated 2013-06-03. Update your information in the RePEc Author Service.

Short-id: pau34

Working Papers

2013

1. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science

2012

2. Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science
3. Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (1)
4. Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (5)

2011

5. Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (3)
6. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (2)

2010

7. Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators
   University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen
8. Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging
   Textos para discussão, Department of Economics PUC-Rio (Brazil)
   See also Journal Article in Journal of Applied Econometrics (2011)

2009

9. Option trading strategies based on semi-parametric implied volatility surface prediction
   University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen
10. Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach
    University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen

2008

11. Modeling Tick-by-Tick Realized Correlations
    University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2010)
12. Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
    University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen View citations (1)
    See also Journal Article in Journal of Financial Econometrics (2012)
13. Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process
    University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen View citations (1)

2007

14. A general multivariate threshold GARCH model with dynamic conditional correlations
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (3)
    Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005)
    See also Journal Article in Journal of Business & Economic Statistics (2011)
15. Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (2)
16. Forecasting Implied Volatility Surfaces
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen
17. Realized Correlation Tick-by-Tick
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (6)
18. Splines for Financial Volatility
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (2)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2009)

2005

19. Accurate Yield Curve Scenarios Generation using Functional Gradient Descent
    Computing in Economics and Finance 2005, Society for Computational Economics

Undated

20. Beta Regimes for the Yield Curve
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich View citations (3)
    See also Journal Article in Journal of Financial Econometrics

Journal Articles

2012

1. Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
   Journal of Financial Econometrics, 2012, 10, (4), 591-616
   See also Working Paper (2008)
2. What Drives Short Rate Dynamics? A Functional Gradient Descent Approach
   Computational Economics, 2012, 39, (3), 315-335 View citations (1)

2011

3. A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
   Journal of Business & Economic Statistics, 2011, 29, (1), 138-149 View citations (2)
   See also Working Paper (2007)
4. Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging
   Journal of Applied Econometrics, 2011, 26, (6), 999-1022 View citations (1)
   See also Working Paper (2010)

2010

5. Modeling tick-by-tick realized correlations
   Computational Statistics & Data Analysis, 2010, 54, (11), 2372-2382 View citations (2)
   See also Working Paper (2008)

2009

6. Splines for financial volatility
   Journal of the Royal Statistical Society Series B, 2009, 71, (3), 655-670 View citations (1)
   See also Working Paper (2007)

2007

7. A Forecasting Model for Stock Market Diversity
   Annals of Finance, 2007, 3, (2), 213-240

2006

8. A dynamic model of expected bond returns: A functional gradient descent approach
   Computational Statistics & Data Analysis, 2006, 51, (4), 2267-2277 View citations (2)
9. Average conditional correlation and tree structures for multivariate GARCH models
   Journal of Forecasting, 2006, 25, (8), 579-600 View citations (2)
10. Estimating and predicting multivariate volatility thresholds in global stock markets
    Journal of Applied Econometrics, 2006, 21, (3), 345-369 View citations (4)
11. The impact of general non-parametric volatility functions in multivariate GARCH models
    Computational Statistics & Data Analysis, 2006, 50, (11), 3032-3052 View citations (8)
12. Tree-Structured Multiple Regimes in Interest Rates
    Journal of Business & Economic Statistics, 2006, 24, 338-353 View citations (6)

2005

13. A multivariate FGD technique to improve VaR computation in equity markets
    Computational Management Science, 2005, 2, (2), 87-106 View citations (4)
14. Functional gradient descent for financial time series with an application to the measurement of market risk
    Journal of Banking & Finance, 2005, 29, (4), 959-977 View citations (2)
15. Local Likelihood for non-parametric ARCH(1) models
    Journal of Time Series Analysis, 2005, 26, (2), 251-278 View citations (1)
16. The Stability of Factor Models of Interest Rates
    Journal of Financial Econometrics, 2005, 3, (3), 422-441 View citations (4)

2001

17. Tree-structured generalized autoregressive conditional heteroscedastic models
    Journal of the Royal Statistical Society Series B, 2001, 63, (4), 727-744 View citations (1)

Undated

18. Beta Regimes for the Yield Curve
    Journal of Financial Econometrics, 5, (3), 456-490
    See also Working Paper