TY - JOUR
TI - Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
AU - Corsi, F.
AU - Peluso, S.
AU - Audrino, F.
PY - 2014
N2 - Motivated by the need of a positive-semidefinite estimator of multivariate realized covariance matrices, we model noisy and asynchronous ultra-high-frequency asset prices in a state-space framework with missing data. We then estimate the covariance matrix of the latent states through a Kalman smoother and Expectation Maximization (KEM) algorithm. Iterating between the two EM steps, we obtain a covariance matrix estimate which is robust to both asynchronicity and microstructure noise, and positive-semidefinite by construction. We show the performance of the KEM estimator using extensive Monte Carlo simulations that mimic the liquidity and market microstructure characteristics of the S&P 500 universe as well as in an high-dimensional application on US stocks. KEM provides very accurate covariance matrix estimates and significantly outperforms alternative approaches recently introduced in the literature.
PB - Wiley-Blackwell
CY - Chichester
SN - 0883-7252
JF - Journal of Applied Econometrics
VL - online 01.14 - forthcoming
IS - 2014
SP - 1
EP - 21
ER -
TY - JOUR
TI - Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
AU - Audrino, F.
AU - Corsi, F.
AU - Filipova, K.
PY - 2014
N2 - We propose a simple but effective estimation procedure to extract the level and the volatility dynamics of a latent macroeconomic factor from a panel of observable indicators. Our approach is based on a multivariate conditionally heteroscedastic exact factor model that can take into account the heteroscedasticity feature shown by most macroeconomic variables and relies on an iterated Kalman filter procedure. In simulations we show the unbiasedness of the proposed estimator and its superiority to different approaches introduced in the literature. Simulation results are confirmed in applications to real inflation data with the goal of forecasting long-term bond risk premia. Moreover, we find that the extracted level and conditional variance of the latent factor for inflation are strongly related to NBER business cycles.
PB - Taylor & Francis
CY - Philadelphia
SN - 0747-4938
JF - Econometric Reviews
VL - online seit 08.13 - forthcoming
IS - 2014
SP - 1
EP - 43
ER -
TY - JOUR
TI - Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks
AU - Audrino, F.
PY - 2014
N2 - The predictive power of recently introduced components affecting correlations is investigated. The focus is on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover, models allowing the correlation dynamics to be subjected to regime-shift caused by threshold-based structural breaks of a different nature are also considered. The results indicate that in some cases there may be a superimposition of the long-term and short-term movements in correlations. Therefore, care is called for in interpretations when estimating the two components. Testing the forecasting accuracy of correlations during the late-2000s financial crisis yields mixed results. In general, component models allowing for a richer correlation specification possess an increased predictive accuracy. Economically speaking, no relevant gains are found by allowing for more flexibility in the correlation dynamics.
PB - Elsevier
CY - Amsterdam
SN - 0167-9473
JF - Computational Statistics & Data Analysis
VL - online seit 06.13 - forthcoming
IS - 2014
SP - 1
EP - 1
ER -
TY - JOUR
TI - Monetary policy regimes: implications for the yield curve and bond pricing
AU - Filipova, K.
AU - Audrino, F.
AU - De Giorgi, E.
PY - 2013
N2 - We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relationship between interest rates and the state of the economy. In contrast to the classical term structure literature, where nonlinearities are captured by increasing the number of latent state variables, or by latent regime shifts, in our no-?? 1/2 arbitrage framework the regimes are governed by thresholds and are directly linked to economic fundamentals. Specifically, starting from a simple monetary policy model for the short rate, we introduce a parsimonious and tractable model for the yield curve, which takes into account the possibility of regime shifts in the behavior of the Federal Reserve. In our empirical analysis, we show the merit of our approach along the following dimensions: (i) interpretable bond dynamics; (ii) accurate short end yield curve pricing; (iii) yield curve implications.
PB - Elsevier
SN - 0304-405X
JF - Journal of Financial Economics
VL - forthcoming
SP - 1
ER -
TY - UNPB
TI - Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models
AU - Audrino, F.
AU - Camponovo, L.
PY - 2013
N2 - We derive new theoretical results on the properties of the adaptive least absolute shrinkage and selection operator (adaptive lasso) for time series regression models. In particular we investigate the question of how to conduct finite sample inference on the parameters given an adaptive lasso model for some fixed value of the shrinkage parameter. Central in this study is the test of the hypothesis that a given adaptive lasso parameter equals zero, which therefore tests for a false positive. To this end we construct a simple (conservative) testing procedure and show, theoretically and empirically through extensive Monte Carlo simulations, that the adaptive lasso combines efficient parameter estimation, variable selection, and valid finite sample inference in one step. Moreover, we analytically derive a bias correction factor that is able to significantly improve the empirical coverage of the test on the active variables. Finally, we apply the introduced testing procedure to investigate the relation between the short rate dynamics and the economy, thereby providing a statistical foundation (from a model choice perspective) to the classic Taylor rule monetary policy model.
PB - SEPS Discussion paper series
ER -
TY - UNPB
TI - Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
AU - Audrino, F.
AU - Fengler, M.
PY - 2013
N2 - We suggest a joint analysis of ex-post intra-day variability in an option and its associated underlying asset market as a novel means of validating an option pricing model. For this purpose, we introduce the notion of option realized variance, by which we mean the cumulative variance realized by the sample path of successive option price observations. In concurrently observing the realized path of the underlying asset, we contrast option realized variance with the realized variance that would be implied from the underlying asset price path under certain model assumptions. In the empirical analysis, we focus on the implied volatility compensated Black-Scholes model and the Heston model. We find that neither model reconciles second-order moments in the option and the underlying asset market. The differences point to the existence of additional relevant pricing factors that affect option second-order moments. We thus corroborate findings made in option data of lower frequency.
T3 - Discussion paper series
PB - SEPS
CY - St. Gallen
VL - 1311
ER -
TY - UNPB
TI - Monetary Policy Regimes: Implications for the Yield Curve and Bond Pricing
AU - Filipova, K.
AU - Audrino, F.
AU - De Giorgi, E.
PY - 2013
N2 - We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relationship between interest rates and the state of the economy. In contrast to the classical term structure literature, where nonlinearities are captured by increasing the number of latent state variables, or by latent regime shifts, in our no-arbitrage framework the regimes are governed by thresholds and are directly linked to different economic fundamentals. Specifically, starting from a simple monetary policy model for the short rate, we introduce a parsimonious and tractable model for the yield curve, which takes into account the possibility of regime shifts in the behavior of the Federal Reserve. In our empirical analysis, we show the merit of our approach along four dimensions: (i) interpretable bond dynamics; (ii) accurate short end yield curve pricing; (iii) yield curve implications; (iv) superior out-of-sample short rate forecasting performance.
PB - http://ssrn.com/abstract=2232742
ER -
TY - UNPB
TI - Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics
AU - Audrino, F.
AU - Knaus, S.
PY - 2012
N2 - Realized volatility computed from high-frequency data is an important measure for many applications in finance. However, its dynamics are not well understood to date. Recent notable advances that perform well include the heterogeneous autoregressive (HAR) model which is economically interpretable and but still easy to estimate. It also features good out-of-sample performance and has been extremely well received by the research community. We present a data driven approach based on the absolute shrinkage and selection operator (lasso) which should identify the aforementioned model. We prove that the lasso indeed recovers the HAR model asymptotically if it is the true model, and we present Monte Carlo evidence in finite sample. The HAR model is not recovered by the lasso on real data. This, together with an empirical out-of-sample analysis that shows equal performance of the HAR model and the lasso approach, leads to the conclusion that the HAR model may not be the true model but it captures a linear footprint of the true volatility dynamics.
T3 - Discussion paper series
PB - SEPS
CY - St. Gallen
VL - 1224
ER -
TY - JOUR
TI - Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
AU - Audrino, F.
AU - Corsi, F.
PY - 2012
N2 - This paper presents two classes of tick-by-tick covariance estimators adapted to the case of rounding in the price time stamps to a frequency lower than the typical arrival rate of tick prices. Through Monte Carlo simulations we investigate the behavior of such estimators under realistic market microstructure conditions analogous to those of the financial data examined in this paper’s empirical section, that is, non-synchronous trading, general ARMA structure for microstructure noise, and true lead-lag cross-covariance.
Simulation results show the robustness of the proposed tick-by-tick covariance estimators to time stamp rounding, and their overall performance is superior to competing covariance estimators under empirically realistic microstructure conditions. These results are confirmed in the empirical application where the economic benefits of the proposed estimators are evaluated with volatility timing strategies applied to a bivariate portfolio of S&P 500 futures and 30-year US treasury bond futures.
PB - Oxford Journals
CY - Oxford UK
SN - 1479-8409
JF - Journal of Financial Econometrics
VL - 4
IS - 10
SP - 591
EP - 616
ER -
TY - CHAP
TI - HAR Modeling for Realized Volatility Forecasting
T2 - Handbook of Volatility Models and their Applications
AU - Audrino, F.
AU - Corsi, F.
AU - Reno, R.
PY - 2012
T3 - Wiley handbooks in financial engineering and econometrics
PB - Wiley
CY - Hoboken, N.J.
SN - 978-0-470-87251-2
SP - 363
EP - 382
ER -
TY - UNPB
TI - Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
AU - Audrino, F.
AU - Corsi, F.
AU - Peluso, S.
PY - 2012
N2 - Motivated by the need for an unbiased and positive-semidefinite estimator of multivariate realized covariance matrices, we model noisy and asynchronous ultra-high-frequency asset prices in a state-space framework with missing data. We then estimate the covariance matrix of the latent states through a Kalman smoother and Expectation Maximization (KEM) algorithm. In the expectation step, by means of the Kalman filter with missing data, we reconstruct the smoothed and synchronized series of the latent price processes. In the maximization step, we search for covariance matrices that maximize the expected likelihood obtained with the reconstructed price series. Iterating between the two EM steps, we obtain a KEM-improved covariance matrix estimate which is robust to both asynchronicity and microstructure noise, and positive-semidefinite by construction.
Extensive Monte Carlo simulations show the superior performance of the KEM estimator over several alternative covariance matrix estimates introduced in the literature. The application of the KEM estimator in practice is illustrated on a 10-dimensional US stock data set.
PB - SEPS Working Paper Series
CY - St. Gallen
ER -
TY - JOUR
TI - What drives short rate dynamics? A functional gradient descent approach
AU - Audrino, F.
PY - 2012
N2 - Functional gradient descent, a recent technique coming from computational statistics, is applied to the estimation of the conditional moments of the short rate process with the goal of finding the main drivers of the drift and volatility dynamics. Functional gradient descent can improve the accuracy of some reasonable starting estimates obtained using classical short rate models introduced in the literature. It exploits the predictive information of an enlarged set of variables, including yields at other maturities, time, and macroeconomic indicators. Fitting this methodology to the time series of monthly US 3-month Treasury bill rates, we find that the drift dynamics react mostly in a non-linear way to changes in macroeconomic variables, whereas volatility dynamics are subjected to time-dependent regime-switches. Finally we show the superior performance of the final predictions obtained by applying functional gradient descent in a forecasting exercise.
PB - Springer
CY - US
SN - 0927-7099
JF - Computational Economics
VL - 3
IS - 39
SP - 315
EP - 335
ER -
TY - JOUR
TI - Option strategies based on semi-parametric implied volatility surface prediction
AU - Audrino, F.
AU - Colangelo, D.
PY - 2011
N2 - We investigate whether a more sophisticated technique able to forecast accurately the future movements of the implied volatility surface may help in improving the performance of basic option strategies. To this goal we construct a set of strategies using predicted option returns for a forecasting period of ten trading days and form profitable hold-to-expiration, equally weighted, zero-cost portfolios with one month at-the-money options. The accurate predictions of the implied volatility surface dynamics are obtained using a statistical machine learning procedure based on regression trees. These forecasts assist in obtaining reliable option returns used as trading signals in our strategies. We test the performance of the proposed strategies on options on the S\&P100 and on its constituents between 2002 and 2006 getting positive annualized returns of up to more than 50\%. Comparing such performance to the ones obtained without using any complex model for the implied volatility surface we show that in most cases differences are small.
PB - Incisive Media
CY - London
SN - 1460-1559
JF - Journal of Investment Strategies
VL - 1
IS - 1
SP - 3
EP - 41
ER -
TY - UNPB
TI - Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks
AU - Audrino, F.
PY - 2011
N2 - We empirically investigate the predictive power of the various components affecting correlations that have been recently introduced in the literature. We focus on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover, we also allow the correlation dynamics to be subjected to regime-shift caused by threshold-based structural breaks of a different nature. Our results indicate that in some cases there may be a superimposition of the long- and short-term movements in correlations. Therefore, care is called for in interpretations when estimating the two components. Testing the forecasting accuracy of correlations during the late-2000s financial crisis yields mixed results. In general component models allowing for a richer correlation specification possess an increased predictive accuracy. Economically speaking, no relevant gains are found by allowing for more flexibility in the correlation dynamics.
T3 - Discussion papers in economics
PB - SEPS-UNISG
VL - 2011-12
ER -
TY - JOUR
TI - Modeling and forecasting short-term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging
AU - Audrino, F.
AU - Medeiros, M. C.
PY - 2011
N2 - In this paper we propose a smooth transition tree model for both the
conditional mean and variance of the short-term interest rate process. The estimation of such models is addressed and the asymptotic properties of the quasi-maximum likelihood estimator are derived. Model specification is also discussed. When the model is applied to the US short-term interest rate we find (1) leading indicators for inflation and real activity are the most relevant predictors in characterizing the multiple regimes' structure; (2) the optimal model has three limiting regimes. Moreover, we provide empirical evidence of the power of the model in forecasting the first two conditional moments when it is used in connection with bootstrap aggregation (bagging).
PB - Wiley
CY - Chichester UK
SN - 0883-7252
JF - Journal of Applied Econometrics
VL - 6
IS - 26
SP - 999
EP - 1022
ER -
TY - JOUR
TI - A General Multivariate Threshold GARCH Model for Dynamic Correlations
AU - Audrino, F.
AU - Trojani, F.
PY - 2011
N2 - We introduce a new multivariate GARCH model with multivariate thresholds in conditional correlations and develop a two-step
estimation procedure that is feasible in large dimensional applications. Optimal threshold functions are estimated endogenously from the data, and the model conditional covariance matrix is ensured to be positive definite. We study the empirical performance of our model in two applications using US stock and bond market data. In both applications our model has, in terms of statistical and economic significance, higher forecasting power than several other multivariate GARCH models for conditional correlations
PB - Taylor & Francis
CY - Abingdon UK
SN - 0735-0015
JF - Journal of Business and Economic Statistics
VL - 1
IS - 29
SP - 138
EP - 149
ER -
TY - UNPB
TI - Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
AU - Audrino, F.
PY - 2010
N2 - http://ideas.repec.org/p/usg/dp2010/2010-09.html
T3 - VWA Discussion Paper Series
PB - Economic Deparment, University of St. Gallen
ER -
TY - JOUR
TI - Modeling tick-by-tick realized correlations
AU - Audrino, F.
AU - Corsi, F.
PY - 2010
N2 - A tree-structured heterogeneous autoregressive (tree-HAR) process is
proposed as a simple and parsimonious model for the estimation and prediction of tick-by-tick realized correlations. The model can account for different time and other relevant predictors' dependentregime shifts in the conditional mean dynamics of the realized correlation series. Testing the model on S&P 500 Futures and 30-year Treasury Bond Futures realized correlations, empirical evidence that the tree-HAR model reaches a good compromise between simplicity and flexibility is provided. The model yields accurate single- and multi-step out-of-sample forecasts. Such forecasts are also better than those obtained from other standard approaches, in particular when the final goal is multi-period forecasting
PB - Elsevier Science
CY - Amsterdam
SN - 0167-9473
JF - Computational Statistics and Data Analysis
VL - 11
IS - 54
SP - 2372
EP - 2382
ER -
TY - JOUR
TI - Semi-parametric forecasts of the implied volatility surface using regression trees
AU - Audrino, F.
AU - Colangelo, D.
PY - 2010
N2 - We present a new semi-parametric model for the prediction of implied volatility surfaces that can be estimated using machine learning algorithms. Given a reasonable starting model, a boosting algorithm based on regression trees sequentially minimizes generalized residuals computed as differences between observed and estimated implied volatilities. To overcome the poor predictive power of existing models, we include a grid in the region of interest, and implement a cross-validation strategy to find an optimal stopping value for the boosting procedure. Back testing the out-of-sample performance on a large data set of implied volatilities from S&P 500 options, we provide empirical evidence of the strong predictive power of our model.
PB - Springer Science
CY - Dordrecht
SN - 0960-3174
JF - Statistics and Computing
VL - 4
IS - 20
SP - 421
EP - 434
ER -
TY - UNPB
TI - Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach
AU - Audrino, F.
AU - Filipova, K.
PY - 2009
N2 - http://ideas.repec.org/p/usg/dp2009/2009-10.html
T3 - University of St. Gallen Department of Economics working paper series 2009
PB - University of St. Gallen
CY - St. Gallen
VL - 2009-10
ER -
TY - JOUR
TI - Splines for Financial Volatility
AU - Audrino, F.
AU - Bühlmann, P.
PY - 2009
PB - Wiley
CY - Hoboken
SN - 1369-7412
JF - Journal of the Royal Statistical Society, Series B
VL - 3
IS - 71
SP - 655
EP - 670
ER -
TY - UNPB
TI - Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process: Discussion papers
AU - Audrino, F.
AU - Madeiros, M. C.
PY - 2008
N2 - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1233942
http://ideas.repec.org/p/usg/dp2008/2008-16.html
T3 - 2008
PB - Volkswirtschaftliche Abteilung Universität St. Gallen
CY - St. Gallen
ER -
TY - UNPB
TI - Modeling Tick-by-Tick Realized Correlations: Discussion Papers
AU - Audrino, F.
AU - Corsi, F.
PY - 2008
N2 - http://ideas.repec.org/p/usg/dp2008/2008-05.html
T3 - 2008
PB - Volkswirtschaftliche Abteilung Universität St. Gallen
CY - St. Gallen
ER -
TY - UNPB
TI - Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects: Discussion papers
AU - Audrino, F.
AU - Corsi, F.
PY - 2008
N2 - http://ideas.repec.org/p/usg/dp2008/2008-04.html
T3 - 2008
PB - Volkswirtschaftliche Abteilung Universität St. Gallen
CY - St. Gallen
ER -
TY - UNPB
TI - Forecasting Implied Volatility Surfaces
AU - Audrino, F.
AU - Colangelo, D.
PY - 2007
N2 - http://ideas.repec.org/p/usg/dp2007/2007-42.html
T3 - VWA Discussion Papers Series
PB - University of St. Gallen
ER -
TY - UNPB
TI - Forecasting Implied Volatility Surfaces
AU - Audrino, F.
AU - Colangelo, D.
PY - 2007
N2 - http://ideas.repec.org/p/usg/dp2007/2007-42.html
PB - 2007-42, VWA Discussion Papers Series, HSG St. Gallen
ER -
TY - UNPB
TI - A general multivariate threshold GARCH model with dynamic conditional correlations (Revised Version of Paper no. 2005-04)
UR - https://www.alexandria.unisg.ch/publications/41447
AU - Audrino, F.
AU - Trojani, F.
PY - 2007
N2 - http://ideas.repec.org/p/usg/dp2005/2005-04.html
PB - 2007-25, VWA Discussion Papers Series, HSG St. Gallen
ER -
TY - UNPB
TI - Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
AU - Audrino, F.
AU - Trojani, F.
PY - 2007
N2 - http://ideas.repec.org/p/usg/dp2007/2007-24.html
PB - 2007-24, VWA Discussion Papers Series, HSG St. Gallen
ER -
TY - UNPB
TI - Splines for Financial Volatility
AU - Audrino, F.
AU - Bühlmann, P.
PY - 2007
N2 - http://ideas.repec.org/p/usg/dp2007/2007-11.html
PB - 2007-11, VWA Discussion Papers Series, HSG St. Gallen
ER -
TY - UNPB
TI - Realized Correlation Tick-by-Tick
AU - Audrino, F.
AU - Corsi, F.
PY - 2007
N2 - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=957997
PB - 2007-02, VWA Discussion Papers Series, HSG St. Gallen
ER -
TY - JOUR
TI - Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
AU - Audrino, F.
AU - Trojani, F.
PY - 2007
PB - Elsevier Science Publishers
CY - Amsterdam
SN - 1479-8409
JF - Journal of Financial Econometrics
VL - 4
IS - 5
SP - 591
EP - 623
ER -
TY - JOUR
TI - Beta regimes for the Yield Curve
AU - Audrino, F.
AU - De Giorgi, E.
PY - 2007
PB - Oxford University Press
CY - Oxford
SN - 1479-8409
JF - Journal of Financial Econometrics
VL - 3
IS - 5
SP - 456
EP - 490
ER -
TY - JOUR
TI - A forecasting model for stock market diversity
AU - Audrino, F.
AU - Fernholz, R.
AU - Ferretti, R.
PY - 2007
PB - Springer
CY - Berlin
SN - 1614-2446
JF - Annals of Finance
IS - 3
SP - 213-240
ER -
TY - JOUR
TI - Average Conditional Correlation and Tree Structures for Multivariate GARCH Models
AU - Audrino, F.
AU - Barone Adesi, G.
PY - 2006
PB - John Wiley
CY - Chichester
SN - 0277-6693
JF - Journal of Forecasting
VL - 8
IS - 25
SP - 579
EP - 600
ER -
TY - JOUR
TI - A dynamic model of expected bond returns: A functional gradient descent approach
AU - Audrino, F.
AU - Barone Adesi, G.
PY - 2006
PB - Elsevier
SN - 0167-9473
JF - Computational Statistics & Data Analysis
VL - 4
IS - 51
SP - 2267-2277
ER -
TY - JOUR
TI - Tree-structured multiple regimes in interest rates
AU - Audrino, F.
PY - 2006
PB - American Statistical Association
SN - 0735-0015
JF - Journal of Business & Economic Statistics
VL - 3
IS - 24
SP - 338-353
ER -
TY - JOUR
TI - Estimating and predicting multivariate volatility thresholds in global stock markets
AU - Audrino, F.
AU - Trojani, F.
PY - 2006
PB - John Wiley & Sons
SN - 0883-7252
JF - Journal of Applied Econometrics
IS - 21
SP - 345
EP - 369
ER -
TY - JOUR
TI - The impact of general non-parametric volatility functions in multivariate GARCH models
AU - Audrino, F.
PY - 2006
PB - Elsevier B.V.
CY - Amsterdam
SN - 0167-9473
JF - Computational Statistics & Data Analysis
IS - 50
SP - 3032
EP - 3052
ER -
TY - UNPB
TI - A general multivariate threshold GARCH model with dynamic conditional correlations
AU - Audrino, F.
AU - Trojani, F.
PY - 2005
N2 - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=487942
PB - 2005-04, VWA Discussion Papers Series, HSG St. Gallen
ER -
TY - JOUR
TI - Local Likelihood for non paramentric ARCH(1) models
AU - Audrino, F.
PY - 2005
PB - Wiley-Blackwell
SN - 0143-9782
JF - Journal of Time Series Analysis
VL - 2
IS - 26
SP - 251
EP - 278
ER -
TY - JOUR
TI - A multivariate FGD technique to improve VaR computation in equity markets
AU - Audrino, F.
AU - Barone Adesi, G.
PY - 2005
PB - Springer-Verlag
CY - Heidelberg
SN - 1619-697X
JF - Computational Management Science
IS - 2
SP - 87
EP - 106
ER -
TY - JOUR
TI - The stability of factor models of interest rates
AU - Audrino, F.
AU - Barone Adesi, G.
AU - Mira, A.
PY - 2005
PB - Oxford Publishing Limited
CY - Oxford
SN - 1479-8409
JF - Journal of Financial Econometrics
VL - 3
IS - 3
SP - 422
EP - 441
ER -
TY - JOUR
TI - Functional gradient descent for financial time series with an application to the measurement of market risk
AU - Audrino, F.
AU - Barone Adesi, G.
PY - 2005
PB - Elsevier B.V.
CY - North-Holland
SN - 0378-4266
JF - Journal of Banking & Finance
IS - 29
SP - 959
EP - 977
ER -
TY - JOUR
TI - Synchronizing multivariate financial time series
AU - Audrino, F.
AU - Bühlmann, P.
PY - 2004
PB - Incisive Media Limited
CY - London
SN - 1465-1211
JF - Journal of Risk
VL - 2
IS - 6
SP - 81
EP - 106
ER -
TY - JOUR
TI - Volatility estimation with functional gradient descent for very high-dimensional financial time series
AU - Audrino, F.
AU - Bühlmann, P.
PY - 2003
PB - Incisive Media Limited
CY - London
SN - 1742–7185
JF - Journal of Computational Finance
VL - 3
IS - 6
SP - 65
EP - 89
ER -
TY - JOUR
TI - Tree-structured GARCH models
AU - Audrino, F.
AU - Bühlmann, P.
PY - 2001
PB - Royal Statistical Society
CY - London
SN - 1369-7412
JF - Journal of the Royal Statistical Society, Series B
VL - 4
IS - 63
SP - 727
EP - 744
ER -