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 0 4 522
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 0 338 0 0 3 822
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 0 172 0 1 2 561
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 0 211 1 1 2 735
An Empirical Analysis of the Ross Recovery Theorem 0 0 1 145 1 2 6 431
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 127 0 0 7 407
Beta Regimes for the Yield Curve 0 0 0 92 0 0 0 556
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 0 171 0 0 0 351
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 0 0 83 1 1 2 327
Forecasting Implied Volatility Surfaces 0 0 0 239 0 0 2 593
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 1 93 0 0 2 282
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 0 0 0 149 0 0 2 496
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 0 0 123 0 0 2 399
Modeling Tick-by-Tick Realized Correlations 0 0 1 203 0 0 1 473
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 105 0 2 3 268
Option trading strategies based on semi-parametric implied volatility surface prediction 0 0 2 332 1 3 6 920
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 1 17 0 0 2 71
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 0 75 1 1 5 217
Realized Correlation Tick-by-Tick 0 0 1 228 0 0 3 643
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 103 0 0 1 298
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 82 0 0 1 271
Splines for Financial Volatility 0 0 0 153 1 1 1 412
Testing the lag structure of assets’ realized volatility dynamics 0 0 1 95 0 0 4 209
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 151 1 1 2 414
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 0 279 0 1 1 508
Total Working Papers 0 0 9 3,987 7 14 64 11,186

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 1 420
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 1 1 1 7 2 2 4 53
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 1 77 0 0 2 223
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 23 0 0 0 79
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 42 0 0 1 216
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* 1 1 10 28 2 3 14 46
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 17 0 0 7 73
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 43 0 0 1 151
Beta Regimes for the Yield Curve 0 0 1 6 0 1 9 63
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 0 0 9 0 0 2 55
Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs 0 0 0 22 0 1 3 80
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 1 87 0 0 4 286
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 1 0 0 3 7
Flexible HAR model for realized volatility 1 3 7 70 2 7 14 263
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 0 0 7 0 1 2 64
Functional gradient descent for financial time series with an application to the measurement of market risk 0 0 0 78 0 0 3 247
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 3 4 6 24 4 6 15 108
Local Likelihood for non‐parametric ARCH(1) models 0 0 0 51 0 0 0 206
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 0 8 0 0 1 56
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 0 0 2 81
Modeling tick-by-tick realized correlations 1 1 3 60 1 1 7 212
Monetary policy regimes: Implications for the yield curve and bond pricing 0 0 0 33 0 0 2 142
Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators 0 0 1 2 0 0 3 21
Predicting U.S. Bank Failures with MIDAS Logit Models 1 2 7 39 1 3 11 100
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 11 0 0 1 55
Sentiment spillover effects for US and European companies 0 0 2 29 2 3 12 185
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 3 4 1 2 8 16
The Stability of Factor Models of Interest Rates 0 0 0 50 0 0 0 131
The impact of general non-parametric volatility functions in multivariate GARCH models 0 1 1 30 0 1 3 121
The impact of sentiment and attention measures on stock market volatility 1 4 12 130 4 13 39 362
Tree-Structured Multiple Regimes in Interest Rates 0 0 2 53 0 1 4 128
Tree‐structured generalized autoregressive conditional heteroscedastic models 0 1 3 45 0 3 6 108
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 15 1 1 3 88
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 7 0 0 0 74
When does attention matter? The effect of investor attention on stock market volatility around news releases 0 0 1 8 3 3 21 48
Total Journal Articles 9 18 63 1,287 23 52 208 4,726

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Statistics updated 2025-06-06