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 1 10 832
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 0 221 2 6 11 533
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 0 172 0 4 12 573
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 0 211 1 1 9 743
An Empirical Analysis of the Ross Recovery Theorem 0 0 3 148 3 6 13 443
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 1 2 129 4 9 43 450
Beta Regimes for the Yield Curve 0 0 0 92 3 4 8 564
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 1 1 172 1 7 21 372
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 1 2 85 0 3 18 344
Forecasting Implied Volatility Surfaces 0 0 0 239 2 6 19 612
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 0 93 4 4 11 293
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 2 151 4 8 40 536
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 1 1 124 2 7 14 413
Modeling Tick-by-Tick Realized Correlations 0 1 1 204 2 9 37 510
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 105 0 2 14 282
Option trading strategies based on semi-parametric implied volatility surface prediction 0 0 0 332 6 12 18 937
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 1 76 8 14 30 246
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 0 17 3 4 6 77
Realized Correlation Tick-by-Tick 0 1 3 231 4 7 14 657
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 1 1 104 3 12 24 322
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 82 1 6 14 285
Splines for Financial Volatility 0 0 0 153 3 5 16 427
Testing the lag structure of assets’ realized volatility dynamics 0 0 0 95 4 13 19 228
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 151 2 6 14 427
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 0 279 0 1 10 518
Total Working Papers 0 7 17 4,004 62 157 445 11,624

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 6 9 15 435
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 1 2 8 2 4 18 69
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 77 3 4 14 237
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 23 1 2 6 85
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 42 2 4 9 225
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* 0 0 2 29 3 6 20 64
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 3 3 12 85
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 43 2 3 9 160
Beta Regimes for the Yield Curve 0 0 0 6 2 3 7 70
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 1 1 10 2 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 2 15 95
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 87 2 2 6 292
Estimating and predicting multivariate volatility thresholds in global stock markets 0 1 1 2 1 5 12 19
Flexible HAR model for realized volatility 0 1 4 73 1 3 21 282
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 13 77
Functional gradient descent for financial time series with an application to the measurement of market risk 0 0 0 78 3 3 10 257
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 1 7 28 6 11 38 142
Local Likelihood for non‐parametric ARCH(1) models 0 0 1 52 2 4 9 215
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 1 1 9 1 3 8 64
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 10 10 22 103
Modeling tick-by-tick realized correlations 0 0 1 60 0 3 12 223
Monetary policy regimes: Implications for the yield curve and bond pricing 0 0 0 33 1 3 12 154
Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators 0 0 0 2 0 1 7 28
Predicting U.S. Bank Failures with MIDAS Logit Models 0 1 8 46 1 2 21 120
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 11 2 6 16 71
Sentiment spillover effects for US and European companies 0 1 4 33 0 4 23 206
Splines for financial volatility 0 0 0 43 2 3 13 171
The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section 0 0 0 4 1 7 21 36
The Stability of Factor Models of Interest Rates 0 0 0 50 1 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 0 4 16 145 6 20 73 431
Tree-Structured Multiple Regimes in Interest Rates 0 0 0 53 0 1 6 134
Tree‐structured generalized autoregressive conditional heteroscedastic models 0 0 0 45 0 0 6 114
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 15 3 3 9 96
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 7 2 3 7 81
When does attention matter? The effect of investor attention on stock market volatility around news releases 0 1 4 12 4 17 53 98
Total Journal Articles 0 13 54 1,332 76 161 564 5,267

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-05-06