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 12 835
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 0 221 0 0 13 536
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 0 172 0 1 12 575
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 0 211 0 1 8 744
An Empirical Analysis of the Ross Recovery Theorem 0 1 3 149 1 4 16 449
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 3 130 0 3 46 455
Beta Regimes for the Yield Curve 0 0 0 92 1 1 8 565
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 1 172 1 2 23 375
Does sentiment help in asset pricing? A novel approach using large language models and market-based labels 0 2 6 10 4 11 52 65
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 0 1 85 0 1 17 347
Forecasting Implied Volatility Surfaces 0 0 0 239 0 0 17 613
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 0 93 1 1 11 294
HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning 0 0 1 9 1 2 24 43
Hard to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning 0 0 2 14 2 5 29 44
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 2 151 1 3 41 541
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 0 1 124 0 1 16 416
Modeling Tick-by-Tick Realized Correlations 0 0 1 204 0 0 39 513
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 105 0 0 12 283
Option trading strategies based on semi-parametric implied volatility surface prediction 0 0 0 332 1 3 21 942
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 0 76 0 1 28 250
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 0 17 0 1 6 78
Quantifying Uncertainty: A New Era of Measurement through Large Language Models 0 0 1 14 0 1 18 34
Quantifying uncertainty: a new era of measurement through large language models 0 0 5 28 0 3 46 81
Realized Correlation Tick-by-Tick 1 1 3 232 4 7 20 666
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 1 104 0 1 24 325
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 1 1 1 83 1 1 12 287
Splines for Financial Volatility 0 0 0 153 1 2 17 430
Testing the lag structure of assets’ realized volatility dynamics 0 0 0 95 0 2 20 231
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 151 0 2 17 431
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 0 279 0 1 11 520
Total Working Papers 2 5 32 4,083 19 61 636 11,968

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 16 438
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 77 0 0 14 237
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 1 8 0 1 13 71
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 23 0 1 7 86
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 42 0 1 9 226
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* 0 0 2 30 1 5 21 71
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 0 0 11 85
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 43 0 0 7 160
Beta Regimes for the Yield Curve 0 0 0 6 0 0 7 70
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 0 1 10 0 0 6 63
Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs 0 0 0 24 0 1 11 96
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 87 0 2 5 294
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 1 2 0 0 9 20
Flexible HAR model for realized volatility 0 0 3 73 3 3 23 292
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 11 77
Functional gradient descent for financial time series with an application to the measurement of market risk 0 0 0 78 0 0 11 259
HARd to beat: The overlooked impact of rolling windows in the era of machine learning 0 1 6 6 1 2 19 19
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning 0 1 4 11 0 4 24 50
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 1 5 30 3 9 45 158
Local Likelihood for non‐parametric ARCH(1) models 1 1 1 53 1 1 9 216
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 1 9 0 4 11 68
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 0 0 23 105
Modeling tick-by-tick realized correlations 0 0 0 60 0 1 14 227
Monetary policy regimes: Implications for the yield curve and bond pricing 0 1 1 34 1 3 12 157
Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators 0 0 0 2 0 0 7 29
Predicting U.S. Bank Failures with MIDAS Logit Models 0 0 8 49 1 3 25 132
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 11 0 0 15 71
Sentiment spillover effects for US and European companies 0 1 4 34 0 2 18 209
Splines for financial volatility 0 0 0 43 0 1 15 173
Synchronizing multivariate financial time series 0 0 0 0 0 0 9 9
The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section 1 1 1 5 1 2 20 39
The Stability of Factor Models of Interest Rates 0 0 0 50 0 2 8 140
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 0 30 0 0 7 129
The impact of macroeconomic news sentiment on interest rates 1 2 10 19 3 9 56 92
The impact of sentiment and attention measures on stock market volatility 0 3 16 149 4 14 78 457
Tree-Structured Multiple Regimes in Interest Rates 0 0 0 53 0 1 6 135
Tree‐structured generalized autoregressive conditional heteroscedastic models 0 0 0 45 1 1 7 116
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 15 0 0 8 97
Volatility estimation with functional gradient descent for very high-dimensional financial time series 0 0 0 1 0 0 4 7
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 7 0 2 8 83
When does attention matter? The effect of investor attention on stock market volatility around news releases 1 1 4 13 2 4 51 106
Yield curve trading strategies exploiting sentiment data 0 1 4 9 0 6 37 51
Total Journal Articles 4 14 73 1,393 23 88 717 5,620

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