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 2 214 0 2 8 479
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 0 337 1 2 5 799
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 1 1 168 0 1 6 529
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 1 1 1 209 1 2 5 710
An Empirical Analysis of the Ross Recovery Theorem 1 3 26 106 4 8 58 261
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 1 4 6 112 1 5 19 309
Beta Regimes for the Yield Curve 0 0 3 81 1 3 20 460
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 1 2 4 163 1 4 15 319
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 1 4 73 2 6 19 278
Forecasting Implied Volatility Surfaces 0 1 4 224 1 7 19 511
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 0 86 0 0 3 201
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 0 2 8 128 2 6 27 390
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 5 19 112 1 11 46 302
Modeling Tick-by-Tick Realized Correlations 1 1 2 192 4 5 15 430
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 96 0 1 5 232
Option trading strategies based on semi-parametric implied volatility surface prediction 1 1 10 253 2 9 44 715
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 1 60 1 4 12 127
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 2 14 0 0 5 36
Realized Correlation Tick-by-Tick 0 1 1 221 0 3 11 597
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 1 1 101 0 2 5 280
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 77 0 1 5 249
Splines for Financial Volatility 0 0 2 147 1 3 13 384
Testing the lag structure of assets’ realized volatility dynamics 0 0 8 68 2 5 25 94
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 4 140 0 3 32 348
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 0 265 0 3 6 465
Total Working Papers 6 25 109 3,647 25 96 428 9,505


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 0 3 406
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 1 0 1 1 15
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 76 0 0 6 185
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 21 0 0 0 69
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 40 0 0 2 210
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 3 0 0 6 26
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 42 1 2 3 139
Beta Regimes for the Yield Curve 0 0 0 1 0 2 2 24
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 0 2 5 1 2 12 25
Estimating and predicting multivariate volatility thresholds in global stock markets 0 1 2 85 0 1 2 268
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 0 1 4 0 1 7 32
Functional gradient descent for financial time series with an application to the measurement of market risk 0 1 2 72 0 1 6 224
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 1 1 0 0 11 11
Local Likelihood for non-parametric ARCH(1) models 0 0 0 48 0 0 3 194
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 0 3 1 1 9 25
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 0 0 2 60
Modeling tick-by-tick realized correlations 0 0 0 51 0 1 3 156
Monetary policy regimes: Implications for the yield curve and bond pricing 0 1 5 27 0 5 21 101
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 1 9 0 0 4 42
Splines for financial volatility 0 0 0 37 0 0 3 132
The Stability of Factor Models of Interest Rates 0 0 0 46 0 0 2 119
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 0 28 0 0 0 104
Tree-Structured Multiple Regimes in Interest Rates 0 0 0 45 1 1 2 109
Tree-structured generalized autoregressive conditional heteroscedastic models 0 0 0 33 0 0 2 83
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 2 5 1 3 20 28
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 1 1 1 6 1 1 3 62
Total Journal Articles 1 4 18 817 6 22 135 2,849


Statistics updated 2017-10-05