Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects Journal paper http://www.alexandria.unisg.ch/publications/210621 en urn:ISSN:1479-8409 Journal of Financial Econometrics High frequency data; Realized covariance; Market microstructure; Bias correction; Portfolio selection; Volatility timing. Audrino, Francesco Corsi, Fulvio 16-03-2012 2012 Audrino, F., & Corsi, F. (2012). Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects. Journal of Financial Econometrics(forthcoming), 1. none HAR Modeling for Realized Volatility Forecasting capitolo libro http://www.alexandria.unisg.ch/publications/209933 en Audrino, Francesco Corsi, Fulvio Reno, Roberto 2012 2012 Audrino, F., Corsi, F., & Reno, R. (2012). HAR Modeling for Realized Volatility Forecasting. In Handbook of Volatility Models and their Applications (pp. 1): John Wiley & Sons, Incorporated. none Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation bozza lavoro http://www.alexandria.unisg.ch/publications/209167 en High frequency data; Realized covariance matrix; Market microstructure noise; Missing data; Kalman filter; EM algorithm; Maximum likelihood Audrino, Francesco Corsi, Fulvio Peluso, Stefano 2012 2012 Audrino, F., Corsi, F., & Peluso, S. (2012). Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. St. Gallen: SEPS Working Paper Series. none What drives short rate dynamics? A functional gradient descent approach Journal paper http://www.alexandria.unisg.ch/publications/207833 en Computational Economics Functional gradient descent; Short rate process; Macroeconomic variables; Time-varying drift and volatility dynamics. Audrino, Francesco 08-03-2012 2012 Audrino, F. (2012). What drives short rate dynamics? A functional gradient descent approach. Computational Economics, 39(3), 315-335. none Option strategies based on semi-parametric implied volatility surface prediction Journal paper http://www.alexandria.unisg.ch/publications/207130 en Journal of Investment Strategies Audrino, Francesco Colangelo, Dominik 01-01-2012 2012 Audrino, F., & Colangelo, D. (2012). Option strategies based on semi-parametric implied volatility surface prediction. Journal of Investment Strategies, 1(1), 3-41. none Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks bozza lavoro http://www.alexandria.unisg.ch/publications/205649 en Correlation forecasting; Component models; Threshold regime-switching models; Mixed data sampling; Performance evaluation. Audrino, Francesco 2011 2011 Audrino, F. (2011). Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks. Discussion papers in economics: SEPS-UNISG. none Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process Journal paper http://www.alexandria.unisg.ch/publications/57802 en urn:ISSN:0883-7252 Journal of Applied Econometrics short-term interest rate, regression tree, smooth transition, conditional variance, bagging, asymptotic theory. Audrino, Francesco Medeiros, Marcelo C. 21-09-2011 2011 Audrino, F., & Medeiros, M. C. (2011). Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process. Journal of Applied Econometrics, 26(6), 999-1022. none A General Multivariate Threshold GARCH Model for Dynamic Correlations Journal paper http://www.alexandria.unisg.ch/publications/57801 en urn:ISSN:0735-0015 Journal of Business and Economic Statistics Multivariate GARCH models; Dynamic conditional correlations; Tree-structured GARCH models. Audrino, Francesco Trojani, Fabio 02-01-2011 2011 Audrino, F., & Trojani, F. (2011). A General Multivariate Threshold GARCH Model for Dynamic Correlations. Journal of Business and Economic Statistics, 29(1), 138-149. none Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators bozza lavoro http://www.alexandria.unisg.ch/publications/62217 en Audrino, Francesco 2010 2010 Audrino, F. (2010). Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators. VWA Discussion Paper Series: Economic Deparment, University of St. Gallen. none Modeling tick-by-tick realized correlations Journal paper http://www.alexandria.unisg.ch/publications/57803 en urn:ISSN:0167-9473 Computational Statistics and Data Analysis High frequency data; Realized correlation; Stock-bond correlation; Tree-structured models; HAR; Regimes. Audrino, Francesco Corsi, Fulvio 01-11-2010 2010 Audrino, F., & Corsi, F. (2010). Modeling tick-by-tick realized correlations. Computational Statistics and Data Analysis, 54(11), 2372-2382. none Semi-parametric forecasts of the implied volatility surface using regression trees Journal paper http://www.alexandria.unisg.ch/publications/53839 en urn:ISSN:0960-3174 Statistics and Computing Implied Volatility, Implied Volatility Surface, Option Pricing, Forecasting, Tree Boosting, Regression Tree, Functional Gradient Descent Audrino, Francesco Colangelo, Dominik 20-09-2010 2010 Audrino, F., & Colangelo, D. (2010). Semi-parametric forecasts of the implied volatility surface using regression trees. Statistics and Computing, 20(4), 421-434. none Yield Curve Predictability, Regimes, and Macroeconomic Information : A Data-Driven Approach bozza lavoro http://www.alexandria.unisg.ch/publications/53838 en Audrino, Francesco Filipova, Kameliya 2009 2009 Audrino, F., & Filipova, K., University of St. Gallen Department of Economics (Eds.), (2009). Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach. University of St. Gallen Department of Economics working paper series 2009. St. Gallen: University of St. Gallen. none Splines for Financial Volatility Journal paper http://www.alexandria.unisg.ch/publications/48831 en urn:ISSN:1369-7412 Journal of the Royal Statistical Society, Series B Audrino, Francesco Bühlmann, Peter 06-06-2009 2009 Audrino, F., & Bühlmann, P. (2009). Splines for Financial Volatility. Journal of the Royal Statistical Society, Series B, 71(3), 655-670. none Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process : Discussion papers bozza lavoro http://www.alexandria.unisg.ch/publications/47866 en Audrino, Francesco Madeiros, Marcelo C. 2008 2008 Audrino, F., & Madeiros, M. C. (2008). Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process: Discussion papers. 2008. St. Gallen: Volkswirtschaftliche Abteilung Universität St. Gallen. none Modeling Tick-by-Tick Realized Correlations : Discussion Papers bozza lavoro http://www.alexandria.unisg.ch/publications/43622 en Audrino, Francesco Corsi, Fulvio 2008 2008 Audrino, F., & Corsi, F. (2008). Modeling Tick-by-Tick Realized Correlations: Discussion Papers. 2008. St. Gallen: Volkswirtschaftliche Abteilung Universität St. Gallen. none Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects : Discussion papers bozza lavoro http://www.alexandria.unisg.ch/publications/43621 en Audrino, Francesco Corsi, Fulvio 2008 2008 Audrino, F., & Corsi, F. (2008). Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects: Discussion papers. 2008. St. Gallen: Volkswirtschaftliche Abteilung Universität St. Gallen. none Forecasting Implied Volatility Surfaces bozza lavoro http://www.alexandria.unisg.ch/publications/45861 en Audrino, Francesco Colangelo, Dominik 2007 2007 Audrino, F., & Colangelo, D. (2007). Forecasting Implied Volatility Surfaces. VWA Discussion Papers Series: University of St. Gallen. none Forecasting Implied Volatility Surfaces bozza lavoro http://www.alexandria.unisg.ch/publications/41484 en Audrino, Francesco Colangelo, Dominik 2007 2007 Audrino, F., & Colangelo, D. (2007). Forecasting Implied Volatility Surfaces: 2007-42, VWA Discussion Papers Series, HSG St. Gallen. none A general multivariate threshold GARCH model with dynamic conditional correlations (Revised Version of Paper no. 2005-04) bozza lavoro http://www.alexandria.unisg.ch/publications/41447 en Audrino, Francesco Trojani, Fabio 2007 2007 Audrino, F., & Trojani, F. (2007). A general multivariate threshold GARCH model with dynamic conditional correlations (Revised Version of Paper no. 2005-04): 2007-25, VWA Discussion Papers Series, HSG St. Gallen. http://www.alexandria.unisg.ch/export/DL/55191.pdf none Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent bozza lavoro http://www.alexandria.unisg.ch/publications/41446 en Audrino, Francesco Trojani, Fabio 2007 2007 Audrino, F., & Trojani, F. (2007). Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent: 2007-24, VWA Discussion Papers Series, HSG St. Gallen. none Splines for Financial Volatility bozza lavoro http://www.alexandria.unisg.ch/publications/41443 en Audrino, Francesco Bühlmann, Peter 2007 2007 Audrino, F., & Bühlmann, P. (2007). Splines for Financial Volatility: 2007-11, VWA Discussion Papers Series, HSG St. Gallen. none Realized Correlation Tick-by-Tick bozza lavoro http://www.alexandria.unisg.ch/publications/41441 en Audrino, Francesco Corsi, Fulvio 2007 2007 Audrino, F., & Corsi, F. (2007). Realized Correlation Tick-by-Tick: 2007-02, VWA Discussion Papers Series, HSG St. Gallen. none Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent Journal paper http://www.alexandria.unisg.ch/publications/40070 en urn:ISSN:1479-8409 Journal of Financial Econometrics Audrino, Francesco Trojani, Fabio 2007 2007 Audrino, F., & Trojani, F. (2007). Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent. Journal of Financial Econometrics, 5(4), 591-623. none Beta regimes for the Yield Curve Journal paper http://www.alexandria.unisg.ch/publications/40068 en urn:ISSN:1479-8409 Journal of Financial Econometrics Audrino, Francesco Giorgi, Enrico De 08-05-2007 2007 Audrino, F., & De Giorgi, E. (2007). Beta regimes for the Yield Curve. Journal of Financial Econometrics, 5(3), 456-490. none A forecasting model for stock market diversity Journal paper http://www.alexandria.unisg.ch/publications/36413 en urn:ISSN:1614-2446 Annals of Finance Audrino, Francesco Fernholz, Robert Ferretti, Roberto 2007 2007 Audrino, F., Fernholz, R., & Ferretti, R. (2007). A forecasting model for stock market diversity. Annals of Finance, 3, 213-240. none Average Conditional Correlation and Tree Structures for Multivariate GARCH Models Journal paper http://www.alexandria.unisg.ch/publications/36416 en urn:ISSN:0277-6693 Journal of Forecasting Audrino, Francesco Adesi, Giovanni Barone 2006 2006 Audrino, F., & Barone Adesi, G. (2006). Average Conditional Correlation and Tree Structures for Multivariate GARCH Models. Journal of Forecasting, 25(8), 579-600. none A dynamic model of expected bond returns: A functional gradient descent approach Journal paper http://www.alexandria.unisg.ch/publications/32658 en urn:ISSN:0167-9473 Computational Statistics & Data Analysis Audrino, Francesco Adesi, Giovanni Barone 2006 2006 Audrino, F., & Barone Adesi, G. (2006). A dynamic model of expected bond returns: A functional gradient descent approach. Computational Statistics & Data Analysis, 51(4), 2267-2277. none Tree-structured multiple regimes in interest rates Journal paper http://www.alexandria.unisg.ch/publications/32657 en urn:ISSN:0735-0015 Journal of Business & Economic Statistics Audrino, Francesco 2006 2006 Audrino, F. (2006). Tree-structured multiple regimes in interest rates. Journal of Business & Economic Statistics, 24(3), 338-353. none Estimating and predicting multivariate volatility thresholds in global stock markets Journal paper http://www.alexandria.unisg.ch/publications/32653 en urn:ISSN:0883-7252 Journal of Applied Econometrics Audrino, Francesco Trojani, Fabio 2006 2006 Audrino, F., & Trojani, F. (2006). Estimating and predicting multivariate volatility thresholds in global stock markets. Journal of Applied Econometrics, 21, 345-369. none The impact of general non-parametric volatility functions in multivariate GARCH models Journal paper http://www.alexandria.unisg.ch/publications/32652 en urn:ISSN:0167-9473 Computational Statistics & Data Analysis Audrino, Francesco 2006 2006 Audrino, F. (2006). The impact of general non-parametric volatility functions in multivariate GARCH models. Computational Statistics & Data Analysis, 50, 3032-3052. none A general multivariate threshold GARCH model with dynamic conditional correlations bozza lavoro http://www.alexandria.unisg.ch/publications/41439 en Audrino, Francesco Trojani, Fabio 2005 2005 Audrino, F., & Trojani, F. (2005). A general multivariate threshold GARCH model with dynamic conditional correlations: 2005-04, VWA Discussion Papers Series, HSG St. Gallen. none Local Likelihood for non paramentric ARCH(1) models Journal paper http://www.alexandria.unisg.ch/publications/32656 en urn:ISSN:0143-9782 Journal of Time Series Analysis Audrino, Francesco 2005 2005 Audrino, F. (2005). Local Likelihood for non paramentric ARCH(1) models. Journal of Time Series Analysis, 26(2), 251-278. none A multivariate FGD technique to improve VaR computation in equity markets Journal paper http://www.alexandria.unisg.ch/publications/32651 en urn:ISSN:1619-697X Computational Management Science Audrino, Francesco Adesi, Giovanni Barone 2005 2005 Audrino, F., & Barone Adesi, G. (2005). A multivariate FGD technique to improve VaR computation in equity markets. Computational Management Science, 2, 87-106. none The stability of factor models of interest rates Journal paper http://www.alexandria.unisg.ch/publications/32649 en urn:ISSN:1479-8409 Journal of Financial Econometrics Audrino, Francesco Adesi, Giovanni Barone Mira, Antonietta 2005 2005 Audrino, F., Barone Adesi, G., & Mira, A. (2005). The stability of factor models of interest rates. Journal of Financial Econometrics, 3(3), 422-441. none Functional gradient descent for financial time series with an application to the measurement of market risk Journal paper http://www.alexandria.unisg.ch/publications/32647 en urn:ISSN:0378-4266 Journal of Banking & Finance Audrino, Francesco Adesi, Giovanni Barone 2005 2005 Audrino, F., & Barone Adesi, G. (2005). Functional gradient descent for financial time series with an application to the measurement of market risk. Journal of Banking & Finance, 29, 959-977. none Synchronizing multivariate financial time series Journal paper http://www.alexandria.unisg.ch/publications/32655 en urn:ISSN:1465-1211 Journal of Risk Audrino, Francesco Bühlmann, Peter 2004 2004 Audrino, F., & Bühlmann, P. (2004). Synchronizing multivariate financial time series. Journal of Risk, 6(2), 81-106. none Volatility estimation with functional gradient descent for very high-dimensional financial time series Journal paper http://www.alexandria.unisg.ch/publications/32654 en urn:ISSN:1742–7185 Journal of Computational Finance Audrino, Francesco Bühlmann, Peter 2003 2003 Audrino, F., & Bühlmann, P. (2003). Volatility estimation with functional gradient descent for very high-dimensional financial time series. Journal of Computational Finance, 6(3), 65-89. none Tree-structured GARCH models Journal paper http://www.alexandria.unisg.ch/publications/32631 en urn:ISSN:1369-7412 Journal of the Royal Statistical Society, Series B Audrino, Francesco Bühlmann, Peter 2001 2001 Audrino, F., & Bühlmann, P. (2001). Tree-structured GARCH models. Journal of the Royal Statistical Society, Series B, 63(4), 727-744. none