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 0 338 2 3 12 834
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 0 221 1 6 12 534
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 0 172 0 3 12 573
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 0 211 0 1 8 743
An Empirical Analysis of the Ross Recovery Theorem 0 0 3 148 1 7 13 444
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 1 2 3 130 1 9 44 451
Beta Regimes for the Yield Curve 0 0 0 92 0 3 8 564
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 1 1 172 1 3 22 373
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 1 2 85 2 5 19 346
Forecasting Implied Volatility Surfaces 0 0 0 239 0 4 19 612
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 0 93 0 4 11 293
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 2 151 1 7 41 537
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 1 1 124 1 7 15 414
Modeling Tick-by-Tick Realized Correlations 0 1 1 204 1 5 38 511
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 105 1 1 15 283
Option trading strategies based on semi-parametric implied volatility surface prediction 0 0 0 332 1 8 18 938
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 1 76 2 14 31 248
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 0 17 0 4 6 77
Realized Correlation Tick-by-Tick 0 1 3 231 0 6 14 657
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 1 1 104 1 6 25 323
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 82 0 3 14 285
Splines for Financial Volatility 0 0 0 153 0 4 15 427
Testing the lag structure of assets’ realized volatility dynamics 0 0 0 95 1 10 20 229
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 151 1 3 14 428
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 0 279 1 1 11 519
Total Working Papers 1 8 18 4,005 19 127 457 11,643

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 8 15 435
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 77 0 3 14 237
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 1 1 8 0 3 16 69
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 23 0 1 6 85
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 42 0 3 9 225
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* 1 1 2 30 2 7 20 66
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 0 3 12 85
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 43 0 3 9 160
Beta Regimes for the Yield Curve 0 0 0 6 0 2 7 70
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 1 1 10 0 4 8 63
Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs 0 0 2 24 0 1 15 95
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 87 0 2 6 292
Estimating and predicting multivariate volatility thresholds in global stock markets 0 1 1 2 1 6 13 20
Flexible HAR model for realized volatility 0 1 3 73 2 5 21 284
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 0 0 7 0 2 13 77
Functional gradient descent for financial time series with an application to the measurement of market risk 0 0 0 78 1 4 11 258
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 1 2 5 29 1 9 35 143
Local Likelihood for non‐parametric ARCH(1) models 0 0 1 52 0 3 9 215
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 1 1 9 0 3 8 64
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 2 12 24 105
Modeling tick-by-tick realized correlations 0 0 0 60 0 0 11 223
Monetary policy regimes: Implications for the yield curve and bond pricing 0 0 0 33 0 1 12 154
Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators 0 0 0 2 1 2 8 29
Predicting U.S. Bank Failures with MIDAS Logit Models 0 0 7 46 2 3 22 122
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 11 0 4 16 71
Sentiment spillover effects for US and European companies 0 1 4 33 1 3 22 207
Splines for financial volatility 0 0 0 43 0 2 13 171
The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section 0 0 0 4 1 8 21 37
The Stability of Factor Models of Interest Rates 0 0 0 50 0 1 6 137
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 0 30 0 0 7 128
The impact of sentiment and attention measures on stock market volatility 1 4 16 146 8 18 77 439
Tree-Structured Multiple Regimes in Interest Rates 0 0 0 53 0 0 6 134
Tree‐structured generalized autoregressive conditional heteroscedastic models 0 0 0 45 1 1 7 115
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 15 1 4 9 97
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 7 0 3 7 81
When does attention matter? The effect of investor attention on stock market volatility around news releases 0 1 4 12 2 12 52 100
Total Journal Articles 3 14 48 1,335 26 146 567 5,293

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Statistics updated 2026-06-04