Access Statistics for Francesco Audrino

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A general multivariate threshold GARCH model with dynamic conditional correlations 0 1 1 213 0 4 8 477
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 1 337 0 3 6 797
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 0 167 1 3 6 528
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 0 208 0 1 5 708
An Empirical Analysis of the Ross Recovery Theorem 2 11 37 102 5 22 75 248
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 2 4 108 0 4 22 302
Beta Regimes for the Yield Curve 1 2 3 81 3 7 20 457
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 1 4 161 1 4 18 315
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 1 4 71 1 6 26 271
Forecasting Implied Volatility Surfaces 1 1 3 223 2 6 18 504
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 1 86 0 0 9 200
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 1 2 8 126 1 8 29 382
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 8 20 107 0 20 47 291
Modeling Tick-by-Tick Realized Correlations 0 0 1 191 0 3 16 425
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 96 0 1 6 231
Option trading strategies based on semi-parametric implied volatility surface prediction 1 3 14 251 6 9 64 702
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 2 60 2 5 14 121
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 2 2 14 0 3 8 36
Realized Correlation Tick-by-Tick 0 0 0 220 0 4 10 594
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 1 100 2 3 8 278
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 77 0 1 4 246
Splines for Financial Volatility 0 1 3 147 0 3 19 381
Testing the lag structure of assets’ realized volatility dynamics 1 4 8 67 1 8 25 87
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 4 140 1 6 33 342
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 2 265 0 1 9 462
Total Working Papers 7 39 123 3,618 26 135 505 9,385


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Forecasting Model for Stock Market Diversity 0 0 0 128 1 1 5 406
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 1 76 0 0 12 185
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 1 0 0 3 14
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 21 0 0 1 69
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 40 0 0 5 210
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 3 1 1 12 26
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 42 0 1 3 137
Beta Regimes for the Yield Curve 0 0 0 1 0 0 2 22
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 1 1 3 5 3 6 16 23
Estimating and predicting multivariate volatility thresholds in global stock markets 0 1 1 84 0 1 4 267
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 1 1 1 4 1 1 9 31
Functional gradient descent for financial time series with an application to the measurement of market risk 0 1 3 71 1 2 10 223
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 0 0 2 5 9 9
Local Likelihood for non-parametric ARCH(1) models 0 0 1 48 0 1 6 194
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 3 3 1 1 17 24
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 0 1 7 60
Modeling tick-by-tick realized correlations 0 0 1 51 0 0 8 155
Monetary policy regimes: Implications for the yield curve and bond pricing 0 1 5 26 2 7 24 95
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 2 9 0 0 7 42
Splines for financial volatility 0 0 1 37 0 1 8 132
The Stability of Factor Models of Interest Rates 0 0 0 46 0 1 3 119
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 0 28 0 0 2 104
Tree-Structured Multiple Regimes in Interest Rates 0 0 0 45 0 1 2 108
Tree-structured generalized autoregressive conditional heteroscedastic models 0 0 0 33 0 2 4 83
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 5 5 2 6 21 21
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 5 1 1 4 61
Total Journal Articles 2 5 28 812 15 40 204 2,820


Statistics updated 2017-06-02