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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
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Journal Articles
Working Papers
2013
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
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
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)
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
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)
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
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
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
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
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
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)
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)
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
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)
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)
Forecasting Implied Volatility Surfaces
University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen
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)
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
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent
Computing in Economics and Finance 2005, Society for Computational Economics
Undated
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
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)
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach
Computational Economics , 2012, 39 , (3), 315-335 View citations (1)
2011
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)
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
Modeling tick-by-tick realized correlations
Computational Statistics & Data Analysis , 2010, 54 , (11), 2372-2382 View citations (2)
See also Working Paper (2008)
2009
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
A Forecasting Model for Stock Market Diversity
Annals of Finance , 2007, 3 , (2), 213-240
2006
A dynamic model of expected bond returns: A functional gradient descent approach
Computational Statistics & Data Analysis , 2006, 51 , (4), 2267-2277 View citations (2)
Average conditional correlation and tree structures for multivariate GARCH models
Journal of Forecasting , 2006, 25 , (8), 579-600 View citations (2)
Estimating and predicting multivariate volatility thresholds in global stock markets
Journal of Applied Econometrics , 2006, 21 , (3), 345-369 View citations (4)
The impact of general non-parametric volatility functions in multivariate GARCH models
Computational Statistics & Data Analysis , 2006, 50 , (11), 3032-3052 View citations (8)
Tree-Structured Multiple Regimes in Interest Rates
Journal of Business & Economic Statistics , 2006, 24 , 338-353 View citations (6)
2005
A multivariate FGD technique to improve VaR computation in equity markets
Computational Management Science , 2005, 2 , (2), 87-106 View citations (4)
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)
Local Likelihood for non-parametric ARCH(1) models
Journal of Time Series Analysis , 2005, 26 , (2), 251-278 View citations (1)
The Stability of Factor Models of Interest Rates
Journal of Financial Econometrics , 2005, 3 , (3), 422-441 View citations (4)
2001
Tree-structured generalized autoregressive conditional heteroscedastic models
Journal of the Royal Statistical Society Series B , 2001, 63 , (4), 727-744 View citations (1)
Undated
Beta Regimes for the Yield Curve
Journal of Financial Econometrics , 5 , (3), 456-490
See also Working Paper
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