Francesco Audrino
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Francesco |
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Audrino |
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Affiliations
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Universität St. Gallen
/ School of Economics and Political Science
/ Fachbereich für Mathematik und Statistik
Research profile
author of:
- Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models (RePEc:arx:papers:1312.1473)
by Francesco Audrino & Lorenzo Camponovo - Tree-Structured Multiple Regimes in Interest Rates (RePEc:bes:jnlbes:v:24:y:2006:p:338-353)
by Audrino, Francesco - A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations (RePEc:bes:jnlbes:v:29:i:1:y:2011:p:138-149)
by Audrino, Francesco & Trojani, Fabio - Tree‐structured generalized autoregressive conditional heteroscedastic models (RePEc:bla:jorssb:v:63:y:2001:i:4:p:727-744)
by Francesco Audrino & Peter Bühlmann - Splines for financial volatility (RePEc:bla:jorssb:v:71:y:2009:i:3:p:655-670)
by Francesco Audrino & Peter Bühlmann - Local Likelihood for non‐parametric ARCH(1) models (RePEc:bla:jtsera:v:26:y:2005:i:2:p:251-278)
by Francesco Audrino - Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators (RePEc:bla:jtsera:v:39:y:2018:i:2:p:111-128)
by Francesco Audrino & Lorenzo Camponovo - Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs (RePEc:bpj:jqsprt:v:14:y:2018:i:4:p:185-199:n:4)
by Audrino Francesco - Flexible HAR model for realized volatility (RePEc:bpj:sndecm:v:23:y:2019:i:3:p:22:n:2)
by Audrino Francesco & Huang Chen & Okhrin Ostap - Predicting U.S. Bank Failures with MIDAS Logit Models (RePEc:cup:jfinqa:v:54:y:2019:i:6:p:2575-2603_10)
by Audrino, Francesco & Kostrov, Alexander & Ortega, Juan-Pablo - The impact of general non-parametric volatility functions in multivariate GARCH models (RePEc:eee:csdana:v:50:y:2006:i:11:p:3032-3052)
by Audrino, Francesco - A dynamic model of expected bond returns: A functional gradient descent approach (RePEc:eee:csdana:v:51:y:2006:i:4:p:2267-2277)
by Audrino, Francesco & Barone-Adesi, Giovanni - Modeling tick-by-tick realized correlations (RePEc:eee:csdana:v:54:y:2010:i:11:p:2372-2382)
by Audrino, Francesco & Corsi, Fulvio - Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks (RePEc:eee:csdana:v:76:y:2014:i:c:p:43-60)
by Audrino, Francesco - When does attention matter? The effect of investor attention on stock market volatility around news releases (RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001466)
by Ballinari, Daniele & Audrino, Francesco & Sigrist, Fabio - The impact of sentiment and attention measures on stock market volatility (RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357)
by Audrino, Francesco & Sigrist, Fabio & Ballinari, Daniele - Sentiment spillover effects for US and European companies (RePEc:eee:jbfina:v:106:y:2019:i:c:p:542-567)
by Audrino, Francesco & Tetereva, Anastasija - Functional gradient descent for financial time series with an application to the measurement of market risk (RePEc:eee:jbfina:v:29:y:2005:i:4:p:959-977)
by Audrino, Francesco & Barone-Adesi, Giovanni - Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data (RePEc:eee:jbfina:v:61:y:2015:i:c:p:46-63)
by Audrino, Francesco & Fengler, Matthias R. - Monetary policy regimes: Implications for the yield curve and bond pricing (RePEc:eee:jfinec:v:113:y:2014:i:3:p:427-454)
by Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico - Volatility Forecasting: Downside Risk, Jumps and Leverage Effect (RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253)
by Francesco Audrino & Yujia Hu - The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section (RePEc:gam:jforec:v:4:y:2022:i:4:p:53-1003:d:984417)
by Marcial Messmer & Francesco Audrino - Estimating and predicting multivariate volatility thresholds in global stock markets (RePEc:jae:japmet:v:21:y:2006:i:3:p:345-369)
by Fabio Trojani & Francesco Audrino - Average conditional correlation and tree structures for multivariate GARCH models (RePEc:jof:jforec:v:25:y:2006:i:8:p:579-600)
by Giovanni Barone-Adesi & Francesco Audrino - A Forecasting Model for Stock Market Diversity (RePEc:kap:annfin:v:3:y:2007:i:2:p:213-240)
by Francesco Audrino & Robert Fernholz & Roberto Ferretti - What Drives Short Rate Dynamics? A Functional Gradient Descent Approach (RePEc:kap:compec:v:39:y:2012:i:3:p:315-335)
by Francesco Audrino - Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects (RePEc:oup:jfinec:v:10:y:2012:i:4:p:591-616)
by Fulvio Corsi & Francesco Audrino - An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device
[Nonparametric Option Pricing under Shape Restrictions] (RePEc:oup:jfinec:v:19:y:2021:i:2:p:291-312.)
by Francesco Audrino & Robert Huitema & Markus Ludwig - The Stability of Factor Models of Interest Rates (RePEc:oup:jfinec:v:3:y:2005:i:3:p:422-441)
by Francesco Audrino - Beta Regimes for the Yield Curve (RePEc:oup:jfinec:v:5:y::i:3:p:456-490)
by Francesco Audrino & Enrico De Giorgi - Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging (RePEc:rio:texdis:570)
by Francesco Audrino & Marcelo Cunha Medeiros - Accurate Yield Curve Scenarios Generation using Functional Gradient Descent (RePEc:sce:scecf5:14)
by Fabio Trojani & Francesco Audrino - A multivariate FGD technique to improve VaR computation in equity markets (RePEc:spr:comgts:v:2:y:2005:i:2:p:87-106)
by Francesco Audrino & Giovanni Barone-Adesi - Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators (RePEc:taf:emetrv:v:35:y:2016:i:2:p:232-256)
by Francesco Audrino & Fulvio Corsi & Kameliya Filipova - Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics (RePEc:taf:emetrv:v:35:y:2016:i:8-10:p:1485-1521)
by Francesco Audrino & Simon D. Knaus - A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations (RePEc:taf:jnlbes:v:29:y:2011:i:1:p:138-149)
by Francesco Audrino & Fabio Trojani - A general multivariate threshold GARCH model with dynamic conditional correlations (RePEc:usg:dp2005:2005-04)
by Fabio Trojani & Francesco Audrino - Realized Correlation Tick-by-Tick (RePEc:usg:dp2007:2007-02)
by Fulvio Corsi & Francesco Audrino - Splines for Financial Volatility (RePEc:usg:dp2007:2007-11)
by Francesco Audrino & Peter Bühlmann - Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent (RePEc:usg:dp2007:2007-24)
by Francesco Audrino & Fabio Trojani - A general multivariate threshold GARCH model with dynamic conditional correlations (RePEc:usg:dp2007:2007-25)
by Francesco Audrino & Fabio Trojani - Forecasting Implied Volatility Surfaces (RePEc:usg:dp2007:2007-42)
by Francesco Audrino & Dominik Colagelo - Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects (RePEc:usg:dp2008:2008-04)
by Fulvio Corsi & Francesco Audrino - Modeling Tick-by-Tick Realized Correlations (RePEc:usg:dp2008:2008-05)
by Fulvio Corsi & Francesco Audrino - Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process (RePEc:usg:dp2008:2008-16)
by Francesco Audrino & Marcelo C. Medeiros - Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach (RePEc:usg:dp2009:2009-10)
by Francesco Audrino & Kameliya Filipova - Option trading strategies based on semi-parametric implied volatility surface prediction (RePEc:usg:dp2009:2009-24)
by Francesco Audrino & Dominik Colangelo - Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators (RePEc:usg:dp2010:2010-09)
by Francesco Audrino & Fulvio Corsi & Kameliya Filipova - Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks (RePEc:usg:econwp:2011:12)
by Audrino, Francesco - Volatility Forecasting: Downside Risk, Jumps and Leverage Effect (RePEc:usg:econwp:2011:38)
by Audrino, Francesco & Hu, Yujia - Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation (RePEc:usg:econwp:2012:02)
by Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco - Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines (RePEc:usg:econwp:2012:10)
by Audrino, Francesco & Meier, Pirmin - Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics (RePEc:usg:econwp:2012:24)
by Audrino, Francesco & Knaus, Simon - Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data (RePEc:usg:econwp:2013:11)
by Audrino, Francesco & Fengler, Matthias - Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models (RePEc:usg:econwp:2013:27)
by Audrino, Francesco & Camponovo, Lorenzo - An Empirical Analysis of the Ross Recovery Theorem (RePEc:usg:econwp:2014:11)
by Audrino, Francesco & Huitema, Robert & Ludwig, Markus - Testing the lag structure of assets’ realized volatility dynamics (RePEc:usg:econwp:2015:01)
by Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin - Estimating and predicting multivariate volatility thresholds in global stock markets (RePEc:wly:japmet:v:21:y:2006:i:3:p:345-369)
by Francesco Audrino & Fabio Trojani - Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging (RePEc:wly:japmet:v:26:y:2011:i:6:p:999-1022)
by Francesco Audrino & Marcelo C. Medeiros - Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation (RePEc:wly:japmet:v:30:y:2015:i:3:p:377-397)
by Fulvio Corsi & Stefano Peluso & Francesco Audrino - Beta Regimes for the Yield Curve (RePEc:zur:iewwpx:244)
by Francesco Audrino & Enrico De Giorgi