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 0 337 0 1 6 800
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 2 214 0 2 9 481
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 1 2 169 0 1 6 530
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 1 209 0 1 4 711
An Empirical Analysis of the Ross Recovery Theorem 1 5 23 111 5 15 59 276
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 2 8 114 0 2 17 311
Beta Regimes for the Yield Curve 1 1 4 82 2 4 20 464
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 3 163 1 2 14 321
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 2 5 75 3 8 24 286
Forecasting Implied Volatility Surfaces 0 6 9 230 1 11 27 522
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 0 86 2 4 5 205
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 0 1 8 129 1 6 28 396
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 1 15 113 0 5 39 307
Modeling Tick-by-Tick Realized Correlations 0 0 2 192 0 0 14 430
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 96 0 3 6 235
Option trading strategies based on semi-parametric implied volatility surface prediction 1 2 8 255 5 10 44 725
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 2 14 0 0 3 36
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 1 1 1 61 3 3 14 130
Realized Correlation Tick-by-Tick 0 0 1 221 0 1 10 598
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 1 101 0 0 5 280
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 1 1 78 0 1 5 250
Splines for Financial Volatility 0 0 1 147 0 3 10 387
Testing the lag structure of assets’ realized volatility dynamics 0 2 9 70 0 3 24 97
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 2 140 1 3 21 351
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 1 1 1 266 1 1 7 466
Total Working Papers 5 26 109 3,673 25 90 421 9,595


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 0 2 406
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 1 0 1 2 16
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 76 0 3 4 188
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 21 0 0 0 69
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 40 0 0 0 210
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 3 0 0 5 26
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 42 0 0 3 139
Beta Regimes for the Yield Curve 0 0 0 1 1 1 3 25
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 0 1 5 1 2 12 27
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 2 85 1 1 3 269
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 0 1 4 0 1 3 33
Functional gradient descent for financial time series with an application to the measurement of market risk 0 0 2 72 0 0 6 224
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 1 1 2 2 11 13
Local Likelihood for non-parametric ARCH(1) models 0 1 1 49 0 1 3 195
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 0 3 0 1 5 26
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 0 0 1 60
Modeling tick-by-tick realized correlations 0 0 0 51 0 1 4 157
Monetary policy regimes: Implications for the yield curve and bond pricing 1 2 5 29 2 5 19 106
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 9 0 0 3 42
Splines for financial volatility 0 1 1 38 2 4 5 136
The Stability of Factor Models of Interest Rates 0 0 0 46 0 0 1 119
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 0 28 0 2 2 106
Tree-Structured Multiple Regimes in Interest Rates 0 1 1 46 1 2 4 111
Tree-structured generalized autoregressive conditional heteroscedastic models 0 0 0 33 0 0 2 83
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 1 5 0 0 16 28
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 1 6 0 1 3 63
Total Journal Articles 1 5 18 822 10 28 122 2,877


Statistics updated 2018-01-04