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 0 0 3 822
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 0 221 0 0 3 522
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 0 172 0 0 2 561
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 0 211 0 1 2 735
An Empirical Analysis of the Ross Recovery Theorem 1 1 2 146 1 2 7 432
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 127 1 1 6 408
Beta Regimes for the Yield Curve 0 0 0 92 0 0 0 556
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 0 171 0 0 0 351
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 0 0 83 0 1 2 327
Forecasting Implied Volatility Surfaces 0 0 0 239 1 2 3 595
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 1 93 0 0 2 282
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 0 149 1 1 3 497
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 0 0 123 0 0 2 399
Modeling Tick-by-Tick Realized Correlations 0 0 1 203 0 0 1 473
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 105 1 2 5 270
Option trading strategies based on semi-parametric implied volatility surface prediction 0 0 2 332 0 2 7 921
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 1 17 0 0 1 71
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 0 75 1 2 4 218
Realized Correlation Tick-by-Tick 0 0 1 228 0 1 2 644
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 103 1 1 2 299
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 82 1 1 2 272
Splines for Financial Volatility 0 0 0 153 1 2 2 413
Testing the lag structure of assets’ realized volatility dynamics 0 0 0 95 0 0 2 209
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 151 0 1 2 414
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 0 279 0 1 2 509
Total Working Papers 1 1 9 3,988 9 21 67 11,200

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 1 420
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 1 1 7 2 4 5 55
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 77 0 0 0 223
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 23 0 0 0 79
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 42 0 0 1 216
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* 0 1 7 28 0 2 10 46
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 17 0 0 5 73
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 43 0 0 1 151
Beta Regimes for the Yield Curve 0 0 1 6 0 0 7 63
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 0 0 9 1 1 3 56
Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs 2 2 2 24 3 3 6 83
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 87 0 0 3 286
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 1 1 1 4 8
Flexible HAR model for realized volatility 0 1 6 70 2 5 15 266
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 0 0 7 0 0 2 64
Functional gradient descent for financial time series with an application to the measurement of market risk 0 0 0 78 0 0 3 247
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 4 6 25 1 6 14 110
Local Likelihood for non‐parametric ARCH(1) models 1 1 1 52 1 1 1 207
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 0 8 0 0 1 56
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 0 0 1 81
Modeling tick-by-tick realized correlations 0 1 2 60 0 1 3 212
Monetary policy regimes: Implications for the yield curve and bond pricing 0 0 0 33 0 0 1 142
Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators 0 0 1 2 0 0 3 21
Predicting U.S. Bank Failures with MIDAS Logit Models 1 2 7 40 1 4 13 103
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 11 0 0 0 55
Sentiment spillover effects for US and European companies 0 1 3 30 0 4 13 187
Splines for financial volatility 0 0 0 43 0 0 0 158
The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section 0 0 3 4 0 3 10 18
The Stability of Factor Models of Interest Rates 0 0 0 50 0 0 0 131
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 1 30 0 0 3 121
The impact of sentiment and attention measures on stock market volatility 1 2 12 131 2 8 39 366
Tree-Structured Multiple Regimes in Interest Rates 0 0 1 53 0 0 3 128
Tree‐structured generalized autoregressive conditional heteroscedastic models 0 0 3 45 0 0 5 108
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 15 0 1 2 88
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 7 0 0 0 74
When does attention matter? The effect of investor attention on stock market volatility around news releases 0 1 2 9 1 7 23 52
Total Journal Articles 5 17 60 1,295 15 51 201 4,754

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Statistics updated 2025-08-05