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 3 3 7 797
A general multivariate threshold GARCH model with dynamic conditional correlations 0 1 2 213 3 4 9 477
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 1 167 2 2 8 527
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 1 208 1 1 6 708
An Empirical Analysis of the Ross Recovery Theorem 3 9 37 100 5 19 75 243
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 2 2 6 108 3 6 26 302
Beta Regimes for the Yield Curve 0 2 2 80 1 5 19 454
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 1 5 161 1 5 19 314
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 1 4 71 3 7 26 270
Forecasting Implied Volatility Surfaces 0 1 2 222 2 7 18 502
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 0 2 8 125 1 10 32 381
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 2 8 21 107 4 20 48 291
Modeling Tick-by-Tick Realized Correlations 0 1 1 191 2 6 18 425
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 96 0 1 11 231
Option trading strategies based on semi-parametric implied volatility surface prediction 0 2 13 250 1 13 61 696
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 1 2 2 14 1 3 8 36
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 2 60 3 3 12 119
Realized Correlation Tick-by-Tick 0 0 0 220 3 6 12 594
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 1 100 1 1 7 276
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 77 1 1 6 246
Splines for Financial Volatility 1 1 3 147 2 3 21 381
Testing the lag structure of assets’ realized volatility dynamics 3 4 7 66 5 10 25 86
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 1 5 140 2 7 34 341
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 2 265 1 2 11 462
Total Working Papers 12 38 127 3,611 51 145 528 9,359


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 1 128 0 1 5 405
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 1 0 0 4 14
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 1 76 0 1 14 185
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 6 210
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 1 1 3 0 4 12 25
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 42 0 1 4 137
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 0 2 4 2 4 15 20
Estimating and predicting multivariate volatility thresholds in global stock markets 1 1 1 84 1 1 5 267
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 0 0 3 0 0 9 30
Functional gradient descent for financial time series with an application to the measurement of market risk 0 1 3 71 0 1 10 222
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 0 0 1 5 7 7
Local Likelihood for non-parametric ARCH(1) models 0 0 1 48 0 1 7 194
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 3 3 0 0 17 23
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 1 1 8 60
Modeling tick-by-tick realized correlations 0 0 1 51 0 2 8 155
Monetary policy regimes: Implications for the yield curve and bond pricing 0 2 5 26 2 6 22 93
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 2 9 0 3 9 42
Splines for financial volatility 0 0 1 37 0 1 11 132
The Stability of Factor Models of Interest Rates 0 0 0 46 1 1 4 119
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 0 28 0 0 3 104
Tree-Structured Multiple Regimes in Interest Rates 0 0 0 45 0 1 3 108
Tree-structured generalized autoregressive conditional heteroscedastic models 0 0 0 33 1 2 6 83
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 1 5 5 0 7 19 19
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 5 0 0 4 60
Total Journal Articles 1 6 27 810 9 43 216 2,805


Statistics updated 2017-05-02