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 6 9 831
A general multivariate threshold GARCH model with dynamic conditional correlations 0 0 0 221 1 5 6 528
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent 0 0 0 172 1 4 10 570
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent 0 0 0 211 0 5 8 742
An Empirical Analysis of the Ross Recovery Theorem 0 2 3 148 0 4 8 437
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 1 1 128 1 29 35 442
Beta Regimes for the Yield Curve 0 0 0 92 1 3 5 561
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 0 171 5 16 19 370
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines 0 0 1 84 0 8 15 341
Forecasting Implied Volatility Surfaces 0 0 0 239 2 7 15 608
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks 0 0 0 93 0 6 7 289
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics 0 1 2 151 2 24 34 530
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 0 0 123 1 5 8 407
Modeling Tick-by-Tick Realized Correlations 0 0 0 203 5 31 33 506
Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging 0 0 0 105 2 6 16 282
Option trading strategies based on semi-parametric implied volatility surface prediction 0 0 0 332 5 8 13 930
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 1 76 2 10 18 234
Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models 0 0 0 17 0 1 2 73
Realized Correlation Tick-by-Tick 0 0 2 230 1 4 8 651
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 103 7 15 19 317
Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process 0 0 0 82 3 5 11 282
Splines for Financial Volatility 0 0 0 153 1 8 12 423
Testing the lag structure of assets’ realized volatility dynamics 0 0 0 95 4 8 10 219
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 151 4 7 12 425
Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach 0 0 0 279 1 6 11 518
Total Working Papers 0 4 10 3,997 49 231 344 11,516

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 7 427
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 1 7 1 4 15 66
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations 0 0 0 77 1 8 11 234
A dynamic model of expected bond returns: A functional gradient descent approach 0 0 0 23 1 3 5 84
A multivariate FGD technique to improve VaR computation in equity markets 0 0 0 42 1 5 6 222
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* 0 0 2 29 1 6 16 59
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 0 7 9 82
Average conditional correlation and tree structures for multivariate GARCH models 0 0 0 43 0 4 6 157
Beta Regimes for the Yield Curve 0 0 0 6 1 3 6 68
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 0 0 9 0 1 4 59
Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs 0 0 2 24 1 8 15 94
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 87 0 0 4 290
Estimating and predicting multivariate volatility thresholds in global stock markets 0 0 0 1 0 2 7 14
Flexible HAR model for realized volatility 0 1 5 72 0 6 23 279
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks 0 0 0 7 0 4 12 75
Functional gradient descent for financial time series with an application to the measurement of market risk 0 0 0 78 0 6 7 254
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics 0 2 7 27 3 14 32 134
Local Likelihood for non‐parametric ARCH(1) models 0 0 1 52 1 5 6 212
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 0 8 0 3 5 61
Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging 0 0 0 0 0 11 12 93
Modeling tick-by-tick realized correlations 0 0 1 60 3 9 12 223
Monetary policy regimes: Implications for the yield curve and bond pricing 0 0 0 33 2 6 11 153
Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators 0 0 0 2 0 5 6 27
Predicting U.S. Bank Failures with MIDAS Logit Models 1 4 9 46 1 10 22 119
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 11 2 5 12 67
Sentiment spillover effects for US and European companies 0 0 3 32 2 8 22 204
Splines for financial volatility 0 0 0 43 1 11 11 169
The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section 0 0 0 4 0 5 15 29
The Stability of Factor Models of Interest Rates 0 0 0 50 0 4 5 136
The impact of general non-parametric volatility functions in multivariate GARCH models 0 0 1 30 0 4 8 128
The impact of sentiment and attention measures on stock market volatility 1 7 16 142 10 35 72 421
Tree-Structured Multiple Regimes in Interest Rates 0 0 0 53 1 4 7 134
Tree‐structured generalized autoregressive conditional heteroscedastic models 0 0 1 45 0 4 9 114
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect 0 0 0 15 0 3 6 93
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach 0 0 0 7 0 3 4 78
When does attention matter? The effect of investor attention on stock market volatility around news releases 0 0 3 11 7 25 43 88
Total Journal Articles 2 14 52 1,321 41 244 473 5,147

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Statistics updated 2026-03-04