Details about Francesco Audrino

Access statistics for papers by Francesco Audrino.

Last updated 2009-11-16. Update your information in the RePEc Author Service.

Short-id: pau34

Working Papers

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
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

2008

3. Modeling Tick-by-Tick Realized Correlations
   University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen
4. 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
5. 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

2007

6. 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
   Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005)
7. 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
8. Forecasting Implied Volatility Surfaces
   University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen
9. 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
10. Splines for Financial Volatility
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen
    See also Journal Article in Journal Of The Royal Statistical Society Series B (2009)

2005

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

Undated

12. Beta Regimes for the Yield Curve
    IEW - Working Papers, Institute for Empirical Research in Economics - IEW View citations

Journal Articles

2009

1. Splines for financial volatility
   Journal Of The Royal Statistical Society Series B, 2009, 71, (3), 655-670
   See also Working Paper (2007)

2007

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

2006

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

2005

8. A multivariate FGD technique to improve VaR computation in equity markets
   Computational Management Science, 2005, 2, (2), 87-106 View citations
9. 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
10. Local Likelihood for non-parametric ARCH(1) models
    Journal of Time Series Analysis, 2005, 26, (2), 251-278 View citations
11. The Stability of Factor Models of Interest Rates
    Journal of Financial Econometrics, 2005, 3, (3), 422-441 View citations

2001

12. Tree-structured generalized autoregressive conditional heteroscedastic models
    Journal Of The Royal Statistical Society Series B, 2001, 63, (4), 727-744