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 5 797
A general multivariate threshold GARCH model with dynamic conditional correlations 1 1 2 214 1 1 8 478
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 1 1 1 168 1 2 6 529
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 0 208 1 1 6 709
An Empirical Analysis of the Ross Recovery Theorem 1 4 33 104 1 11 65 254
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 2 108 1 3 22 305
Beta Regimes for the Yield Curve 0 1 3 81 0 3 18 457
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 4 161 1 2 17 316
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 1 3 72 1 3 23 273
Forecasting Implied Volatility Surfaces 0 1 3 223 3 5 18 507
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 0 86 0 1 6 201
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 1 2 9 127 3 6 32 387
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 1 1 20 108 2 2 44 293
Modeling Tick-by-Tick Realized Correlations 0 0 1 191 0 0 14 425
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 96 1 1 7 232
Option trading strategies based on semi-parametric implied volatility surface prediction 0 2 11 252 4 14 53 710
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 2 14 0 0 6 36
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 2 60 1 5 13 124
Realized Correlation Tick-by-Tick 0 0 0 220 1 1 10 595
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 100 0 2 5 278
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 77 0 2 6 248
Splines for Financial Volatility 0 0 2 147 1 1 15 382
Testing the lag structure of assets’ realized volatility dynamics 0 2 9 68 3 6 27 92
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 4 140 2 6 36 347
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 2 265 1 1 8 463
Total Working Papers 5 16 114 3,627 29 79 470 9,438


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 0 1 4 406
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 1 1 1 3 15
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 1 76 0 0 10 185
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 4 210
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 3 0 1 8 26
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 42 1 1 3 138
Beta Regimes for the Yield Curve 0 0 0 1 0 0 1 22
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 1 3 5 1 4 14 24
Estimating and predicting multivariate volatility thresholds in global stock markets 1 1 2 85 1 1 4 268
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 1 1 4 1 2 9 32
Functional gradient descent for financial time series with an application to the measurement of market risk 1 1 3 72 1 2 8 224
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 1 1 1 0 4 11 11
Local Likelihood for non-parametric ARCH(1) models 0 0 0 48 0 0 4 194
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 2 3 0 1 12 24
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 0 0 5 60
Modeling tick-by-tick realized correlations 0 0 1 51 1 1 6 156
Monetary policy regimes: Implications for the yield curve and bond pricing 1 1 5 27 3 6 23 99
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 2 9 0 0 6 42
Splines for financial volatility 0 0 0 37 0 0 6 132
The Stability of Factor Models of Interest Rates 0 0 0 46 0 0 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 0 2 108
Tree-structured generalized autoregressive conditional heteroscedastic models 0 0 0 33 0 0 3 83
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 4 5 1 7 22 26
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 5 0 1 3 61
Total Journal Articles 3 6 26 816 11 33 177 2,838


Statistics updated 2017-08-03