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 0 221 1 1 3 523
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 0 338 1 1 3 823
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 0 172 1 2 4 563
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 0 211 1 1 3 736
An Empirical Analysis of the Ross Recovery Theorem 0 1 2 146 1 2 7 433
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 127 1 2 6 409
Beta Regimes for the Yield Curve 0 0 0 92 1 1 1 557
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 0 171 1 1 1 352
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 1 1 84 1 3 4 330
Forecasting Implied Volatility Surfaces 0 0 0 239 1 2 4 596
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 1 93 0 1 3 283
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 0 149 1 4 4 500
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 0 0 123 1 1 3 400
Modeling Tick-by-Tick Realized Correlations 0 0 0 203 0 1 1 474
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 105 1 2 6 271
Option trading strategies based on semi-parametric implied volatility surface prediction 0 0 1 332 0 0 6 921
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 1 17 1 1 2 72
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 1 1 76 2 5 7 222
Realized Correlation Tick-by-Tick 0 1 2 229 1 2 4 646
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 103 1 3 4 301
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 82 3 4 5 275
Splines for Financial Volatility 0 0 0 153 0 1 2 413
Testing the lag structure of assets’ realized volatility dynamics 0 0 0 95 1 2 4 211
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 151 0 0 2 414
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 0 279 0 0 2 509
Total Working Papers 0 4 10 3,991 22 43 91 11,234

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 1 2 3 422
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 1 7 2 5 8 58
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 1 1 2 217
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* 0 0 6 28 3 4 12 50
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 17 1 1 5 74
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 43 2 2 3 153
Beta Regimes for the Yield Curve 0 0 1 6 0 0 5 63
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 0 0 9 1 2 4 57
Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs 0 2 2 24 1 5 8 85
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 1 1 4 7 11
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 87 1 3 5 289
Flexible HAR model for realized volatility 0 0 5 70 3 5 17 269
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 0 0 7 1 2 4 66
Functional gradient descent for financial time series with an application to the measurement of market risk 0 0 0 78 1 1 2 248
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 5 25 2 4 15 113
Local Likelihood for non‐parametric ARCH(1) models 0 1 1 52 0 1 1 207
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 0 8 1 1 2 57
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 1 1 2 82
Modeling tick-by-tick realized correlations 0 0 2 60 1 1 4 213
Monetary policy regimes: Implications for the yield curve and bond pricing 0 0 0 33 2 3 4 145
Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators 0 0 1 2 1 1 4 22
Predicting U.S. Bank Failures with MIDAS Logit Models 0 2 7 41 2 5 16 107
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 11 1 1 1 56
Sentiment spillover effects for US and European companies 0 0 3 30 4 4 16 191
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 2 4 1 1 9 19
The Stability of Factor Models of Interest Rates 0 0 0 50 1 1 1 132
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 1 30 1 1 4 122
The impact of sentiment and attention measures on stock market volatility 2 3 13 133 7 15 50 379
Tree-Structured Multiple Regimes in Interest Rates 0 0 1 53 1 1 4 129
Tree‐structured generalized autoregressive conditional heteroscedastic models 0 0 3 45 1 1 6 109
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 15 1 1 3 89
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 7 1 1 1 75
When does attention matter? The effect of investor attention on stock market volatility around news releases 0 0 2 9 2 4 23 55
Total Journal Articles 2 8 57 1,298 50 85 251 4,824

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Statistics updated 2025-10-06