Access Statistics for Francesco Audrino

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A general multivariate threshold GARCH model with dynamic conditional correlations	4	11	51	154	10	29	140	293
A general multivariate threshold GARCH model with dynamic conditional correlations	2	8	28	279	10	23	90	574
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent	5	10	28	115	12	28	130	272
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent	2	6	27	148	3	17	88	484
Beta Regimes for the Yield Curve	1	2	11	50	1	6	45	248
Forecasting Implied Volatility Surfaces	6	13	56	145	13	23	126	254
Modeling Tick-by-Tick Realized Correlations	4	10	39	93	7	20	90	169
Realized Correlation Tick-by-Tick	3	9	40	140	5	15	94	297
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects	2	4	25	48	10	22	86	129
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process	4	12	40	40	10	29	93	93
Splines for Financial Volatility	2	7	38	105	6	14	81	208
Total Working Papers	35	92	383	1,317	87	226	1,063	3,021

Journal Article	File Downloads				Abstract Views
Journal Article	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A Forecasting Model for Stock Market Diversity	1	7	25	74	3	14	73	183
A dynamic model of expected bond returns: A functional gradient descent approach	0	0	7	18	0	2	17	40
A multivariate FGD technique to improve VaR computation in equity markets	1	1	12	28	4	11	52	126
Average conditional correlation and tree structures for multivariate GARCH models	1	1	6	23	3	9	23	77
Estimating and predicting multivariate volatility thresholds in global stock markets	0	4	13	50	0	8	39	171
Functional gradient descent for financial time series with an application to the measurement of market risk	1	3	10	43	1	4	29	118
Local Likelihood for non-parametric ARCH(1) models	0	1	6	33	0	5	18	128
The Stability of Factor Models of Interest Rates	0	0	9	27	1	4	25	68
The impact of general non-parametric volatility functions in multivariate GARCH models	0	1	8	14	0	4	17	33
Tree-Structured Multiple Regimes in Interest Rates	0	0	4	13	0	0	13	46
Tree-structured generalized autoregressive conditional heteroscedastic models	1	2	7	11	1	3	13	22
Total Journal Articles	5	20	107	334	13	64	319	1,012

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Statistics updated 2009-07-03