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 4 8 9 831
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 0 221 1 4 5 527
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 0 172 1 5 10 569
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 0 211 1 5 8 742
An Empirical Analysis of the Ross Recovery Theorem 0 2 3 148 1 4 8 437
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 1 1 2 128 17 32 36 441
Beta Regimes for the Yield Curve 0 0 0 92 2 2 4 560
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 0 171 7 12 14 365
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 0 1 84 6 9 15 341
Forecasting Implied Volatility Surfaces 0 0 0 239 1 7 13 606
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 1 93 5 6 8 289
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 0 2 2 151 16 23 32 528
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 0 0 123 3 5 7 406
Modeling Tick-by-Tick Realized Correlations 0 0 0 203 9 27 28 501
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 105 1 6 14 280
Option trading strategies based on semi-parametric implied volatility surface prediction 0 0 0 332 3 3 9 925
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 0 17 1 1 2 73
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 1 76 6 8 16 232
Realized Correlation Tick-by-Tick 0 1 2 230 2 4 7 650
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 103 7 9 13 310
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 82 1 2 8 279
Splines for Financial Volatility 0 0 0 153 3 7 11 422
Testing the lag structure of assets’ realized volatility dynamics 0 0 0 95 4 4 8 215
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 151 2 6 8 421
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 0 279 2 6 10 517
Total Working Papers 1 6 12 3,997 106 205 303 11,467

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 3 6 426
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 1 7 3 7 14 65
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 77 6 10 10 233
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 23 2 3 4 83
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 42 1 4 6 221
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* 0 0 2 29 4 6 15 58
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 17 5 8 11 82
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 43 3 4 6 157
Beta Regimes for the Yield Curve 0 0 0 6 2 3 7 67
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 0 0 9 1 1 6 59
Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs 0 0 2 24 4 7 15 93
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 1 1 2 8 14
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 87 0 1 4 290
Flexible HAR model for realized volatility 1 2 6 72 4 8 24 279
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 0 0 7 1 7 12 75
Functional gradient descent for financial time series with an application to the measurement of market risk 0 0 0 78 5 6 7 254
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 1 2 7 27 9 15 29 131
Local Likelihood for non‐parametric ARCH(1) models 0 0 1 52 2 4 5 211
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 0 8 3 4 5 61
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 3 11 12 93
Modeling tick-by-tick realized correlations 0 0 1 60 3 6 9 220
Monetary policy regimes: Implications for the yield curve and bond pricing 0 0 0 33 3 5 9 151
Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators 0 0 0 2 3 5 7 27
Predicting U.S. Bank Failures with MIDAS Logit Models 0 4 9 45 4 10 22 118
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 11 3 6 10 65
Sentiment spillover effects for US and European companies 0 1 3 32 4 7 21 202
Splines for financial volatility 0 0 0 43 3 10 10 168
The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section 0 0 0 4 3 5 15 29
The Stability of Factor Models of Interest Rates 0 0 0 50 2 4 5 136
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 1 30 3 6 8 128
The impact of sentiment and attention measures on stock market volatility 3 7 17 141 12 30 68 411
Tree-Structured Multiple Regimes in Interest Rates 0 0 0 53 0 3 6 133
Tree‐structured generalized autoregressive conditional heteroscedastic models 0 0 2 45 2 4 10 114
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 15 1 4 6 93
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 7 1 3 4 78
When does attention matter? The effect of investor attention on stock market volatility around news releases 0 1 3 11 3 23 37 81
Total Journal Articles 5 17 56 1,319 109 245 453 5,106

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Statistics updated 2026-02-12