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 0 1 337 0 0 6 794
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 1 212 0 2 6 473
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 1 167 0 1 7 525
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 1 208 0 2 6 707
An Empirical Analysis of the Ross Recovery Theorem 0 5 33 91 2 16 68 226
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 6 106 2 4 25 298
Beta Regimes for the Yield Curve 1 1 1 79 1 7 16 450
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 1 4 160 2 6 21 311
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 0 3 70 2 5 22 265
Forecasting Implied Volatility Surfaces 1 1 2 222 3 5 14 498
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 2 86 0 2 12 200
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 1 3 7 124 3 8 28 374
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 2 13 99 0 5 36 271
Modeling Tick-by-Tick Realized Correlations 1 1 2 191 3 6 17 422
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 1 96 0 2 15 230
Option trading strategies based on semi-parametric implied volatility surface prediction 0 1 13 248 10 14 62 693
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 2 60 0 0 11 116
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 0 12 0 1 5 33
Realized Correlation Tick-by-Tick 0 0 0 220 2 4 10 590
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 1 100 0 0 6 275
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 2 77 0 0 9 245
Splines for Financial Volatility 0 1 2 146 0 6 19 378
Testing the lag structure of assets’ realized volatility dynamics 1 3 4 63 3 9 20 79
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 1 2 10 140 2 7 39 336
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 3 265 1 2 14 461
Total Working Papers 6 21 115 3,579 36 114 494 9,250


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 2 128 1 1 7 405
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 1 76 1 3 16 185
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 1 0 0 6 14
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 21 0 0 2 69
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 40 0 1 8 210
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 1 1 2 3 4 5 17 25
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 42 0 0 3 136
Beta Regimes for the Yield Curve 0 0 0 1 0 0 3 22
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 1 4 4 1 3 17 17
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 83 0 0 6 266
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 0 0 3 0 1 13 30
Functional gradient descent for financial time series with an application to the measurement of market risk 0 0 2 70 0 3 10 221
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 0 0 2 2 4 4
Local Likelihood for non-parametric ARCH(1) models 0 0 1 48 0 1 7 193
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 3 3 0 3 18 23
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 0 1 7 59
Modeling tick-by-tick realized correlations 0 0 1 51 2 2 8 155
Monetary policy regimes: Implications for the yield curve and bond pricing 1 1 5 25 1 5 24 88
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 2 9 3 3 10 42
Splines for financial volatility 0 0 1 37 0 1 11 131
The Stability of Factor Models of Interest Rates 0 0 0 46 0 0 5 118
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 0 28 0 0 4 104
Tree-Structured Multiple Regimes in Interest Rates 0 0 0 45 0 0 3 107
Tree-structured generalized autoregressive conditional heteroscedastic models 0 0 0 33 0 0 4 81
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 1 1 5 5 3 4 15 15
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 5 0 0 5 60
Total Journal Articles 3 4 29 807 18 39 233 2,780


Statistics updated 2017-03-07