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Details about Francesco Audrino

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Workplace:Fachbereich für Mathematik und Statistik (Group for Mathematics and Statistics), School of Economics and Political Science, Universität St. Gallen (University of St. Gallen), (more information at EDIRC)

Access statistics for papers by Francesco Audrino.

Last updated 2017-02-24. Update your information in the RePEc Author Service.

Short-id: pau34


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Working Papers

2015

  1. Testing the lag structure of assets’ realized volatility dynamics
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads

2014

  1. An Empirical Analysis of the Ross Recovery Theorem
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads View citations (4)

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 Downloads
    See also Journal Article in Journal of Banking & Finance (2015)
  2. Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models
    Papers, arXiv.org Downloads View citations (3)
    Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2013) Downloads View citations (3)

2012

  1. 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 Downloads
  2. 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 Downloads View citations (6)
    See also Journal Article in Econometric Reviews (2016)
  3. 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 Downloads View citations (10)
    See also Journal Article in Journal of Applied Econometrics (2015)

2011

  1. 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 Downloads View citations (5)
  2. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads View citations (5)
    See also Journal Article in Econometrics (2016)

2010

  1. 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 Downloads
    See also Journal Article in Econometric Reviews (2016)
  2. 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) Downloads View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2011)

2009

  1. 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 Downloads
  2. 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 Downloads

2008

  1. Modeling Tick-by-Tick Realized Correlations
    University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2010)
  2. 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 Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2012)
  3. 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 Downloads View citations (1)

2007

  1. 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 Downloads View citations (6)
    Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005) Downloads

    See also Journal Article in Journal of Business & Economic Statistics (2011)
  2. 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 Downloads View citations (4)
  3. Forecasting Implied Volatility Surfaces
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen Downloads
  4. Realized Correlation Tick-by-Tick
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen Downloads View citations (8)
  5. Splines for Financial Volatility
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen Downloads View citations (2)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2009)

2005

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

Undated

  1. Beta Regimes for the Yield Curve
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (6)
    See also Journal Article in Journal of Financial Econometrics

Journal Articles

2016

  1. Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
    Econometric Reviews, 2016, 35, (2), 232-256 Downloads
    See also Working Paper (2010)
  2. Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics
    Econometric Reviews, 2016, 35, (8-10), 1485-1521 Downloads View citations (1)
    See also Working Paper (2012)
  3. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
    Econometrics, 2016, 4, (1), 1-24 Downloads View citations (1)
    See also Working Paper (2011)

2015

  1. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
    Journal of Banking & Finance, 2015, 61, (C), 46-63 Downloads
    See also Working Paper (2013)
  2. Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation
    Journal of Applied Econometrics, 2015, 30, (3), 377-397 Downloads View citations (4)
    See also Working Paper (2012)

2014

  1. Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks
    Computational Statistics & Data Analysis, 2014, 76, (C), 43-60 Downloads View citations (1)
  2. Monetary policy regimes: Implications for the yield curve and bond pricing
    Journal of Financial Economics, 2014, 113, (3), 427-454 Downloads View citations (2)

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 Downloads View citations (5)
    See also Working Paper (2008)
  2. What Drives Short Rate Dynamics? A Functional Gradient Descent Approach
    Computational Economics, 2012, 39, (3), 315-335 Downloads View citations (1)

2011

  1. A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
    Journal of Business & Economic Statistics, 2011, 29, (1), 138-149 Downloads View citations (11)
    Also in Journal of Business & Economic Statistics, 2011, 29, (1), 138-149 (2011) Downloads View citations (5)

    See also Working Paper (2007)
  2. 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 (2)
    See also Working Paper (2010)

2010

  1. Modeling tick-by-tick realized correlations
    Computational Statistics & Data Analysis, 2010, 54, (11), 2372-2382 Downloads View citations (10)
    See also Working Paper (2008)

2009

  1. Splines for financial volatility
    Journal of the Royal Statistical Society Series B, 2009, 71, (3), 655-670 Downloads View citations (7)
    See also Working Paper (2007)

2007

  1. A Forecasting Model for Stock Market Diversity
    Annals of Finance, 2007, 3, (2), 213-240 Downloads View citations (1)

2006

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

2005

  1. A multivariate FGD technique to improve VaR computation in equity markets
    Computational Management Science, 2005, 2, (2), 87-106 Downloads View citations (4)
  2. 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 Downloads View citations (6)
  3. Local Likelihood for non-parametric ARCH(1) models
    Journal of Time Series Analysis, 2005, 26, (2), 251-278 Downloads View citations (1)
  4. The Stability of Factor Models of Interest Rates
    Journal of Financial Econometrics, 2005, 3, (3), 422-441 Downloads View citations (5)

2001

  1. Tree-structured generalized autoregressive conditional heteroscedastic models
    Journal of the Royal Statistical Society Series B, 2001, 63, (4), 727-744 Downloads View citations (2)

Undated

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