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publications

title authors / eds. year type  
 
Semi-parametric forecasts of the implied volatility s... Francesco Audrin... 2010 journal paper
   
Yield Curve Predictability, Regimes, and Macroeconomi... Francesco Audrin... 2009 working paper
   
Splines for Financial Volatility Francesco Audrin... 2009 journal paper
   
Smooth Regimes, Macroeconomic Variables, and Bagging ... Francesco Audrin... 2008 working paper
   
Modeling Tick-by-Tick Realized Correlations Francesco Audrin... 2008 working paper
   
Realized Covariance Tick-by-Tick in Presence of Round... Francesco Audrin... 2008 working paper
   
Forecasting Implied Volatility Surfaces Francesco Audrin... 2007 working paper
   
Forecasting Implied Volatility Surfaces Francesco Audrin... 2007 working paper
   
A general multivariate threshold GARCH model with dyn... Francesco Audrin... 2007 working paper
   
Accurate Short-Term Yield Curve Forecasting using Fun... Francesco Audrin... 2007 working paper
   
Splines for Financial Volatility Francesco Audrin... 2007 working paper
   
Realized Correlation Tick-by-Tick Francesco Audrin... 2007 working paper
   
Accurate Short-Term Yield Curve Forecasting using Fun... Francesco Audrin... 2007 journal paper
   
Beta regimes for the Yield Curve Francesco Audrin... 2007 journal paper
   
A forecasting model for stock market diversity Francesco Audrin... 2007 journal paper
   
Average Conditional Correlation and Tree Structures f... Francesco Audrin... 2006 journal paper
   
A dynamic model of expected bond returns: A functiona... Francesco Audrin... 2006 journal paper
   
Tree-structured multiple regimes in interest rates Francesco Audrino 2006 journal paper
   
 
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