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Details about Francesco Audrino

E-mail:
Homepage:http://www.people.lu.unisi.ch/audrinof/
Workplace:Volkswirtschaftliche Abteilung (Department of Economics), Universität St. Gallen (University of St. Gallen), (more information at EDIRC)

Access statistics for papers by Francesco Audrino.

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

Short-id: pau34


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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 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
  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. 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

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
    Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005) Downloads
  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
  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
  5. Splines for Financial Volatility
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen Downloads
    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 - IEW Downloads View citations

Journal Articles

2009

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

2007

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

2006

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

2005

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

2001

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