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 0 1 2 523
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 0 338 2 3 5 825
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 0 172 2 4 7 566
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 0 211 0 2 4 737
An Empirical Analysis of the Ross Recovery Theorem 0 0 1 146 0 1 5 433
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 127 4 5 9 413
Beta Regimes for the Yield Curve 0 0 0 92 0 2 2 558
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 0 171 1 3 3 354
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 0 1 84 1 4 7 333
Forecasting Implied Volatility Surfaces 0 0 0 239 2 6 8 601
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 1 93 0 0 2 283
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 1 1 1 150 1 7 10 506
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 0 0 123 1 3 4 402
Modeling Tick-by-Tick Realized Correlations 0 0 0 203 1 1 2 475
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 105 2 6 10 276
Option trading strategies based on semi-parametric implied volatility surface prediction 0 0 0 332 0 1 6 922
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 0 17 0 1 1 72
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 1 76 0 4 9 224
Realized Correlation Tick-by-Tick 1 1 2 230 1 2 4 647
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 103 1 2 5 302
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 82 0 5 6 277
Splines for Financial Volatility 0 0 0 153 0 2 4 415
Testing the lag structure of assets’ realized volatility dynamics 0 0 0 95 0 1 4 211
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 151 3 4 5 418
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 0 279 1 3 5 512
Total Working Papers 2 2 8 3,993 23 73 129 11,285

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 3 5 424
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 77 3 3 3 226
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 1 7 4 6 12 62
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 23 1 2 2 81
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 42 0 1 2 217
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* 0 1 3 29 1 6 11 53
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 17 1 2 5 75
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 43 0 2 2 153
Beta Regimes for the Yield Curve 0 0 0 6 1 2 5 65
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 0 0 9 0 2 5 58
Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs 0 0 2 24 0 2 8 86
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 1 0 2 6 12
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 87 1 2 5 290
Flexible HAR model for realized volatility 1 1 5 71 2 7 18 273
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 0 0 7 3 6 8 71
Functional gradient descent for financial time series with an application to the measurement of market risk 0 0 0 78 0 1 1 248
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 5 25 4 9 21 120
Local Likelihood for non‐parametric ARCH(1) models 0 0 1 52 0 0 1 207
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 0 8 1 2 3 58
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 0 1 1 82
Modeling tick-by-tick realized correlations 0 0 1 60 0 2 3 214
Monetary policy regimes: Implications for the yield curve and bond pricing 0 0 0 33 1 4 5 147
Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators 0 0 1 2 0 1 4 22
Predicting U.S. Bank Failures with MIDAS Logit Models 1 1 7 42 1 4 16 109
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 11 3 7 7 62
Sentiment spillover effects for US and European companies 1 2 4 32 1 9 18 196
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 1 4 0 6 12 24
The Stability of Factor Models of Interest Rates 0 0 0 50 0 1 1 132
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 1 30 2 3 5 124
The impact of sentiment and attention measures on stock market volatility 1 4 12 135 5 14 48 386
Tree-Structured Multiple Regimes in Interest Rates 0 0 0 53 0 2 3 130
Tree‐structured generalized autoregressive conditional heteroscedastic models 0 0 2 45 0 2 6 110
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 15 1 2 4 90
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 7 0 1 1 75
When does attention matter? The effect of investor attention on stock market volatility around news releases 1 2 3 11 5 10 25 63
Total Journal Articles 5 11 50 1,307 42 129 282 4,903

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Statistics updated 2025-12-06