https://www.alexandria.unisg.ch
University of St.Gallenennew publications - Francesco AudrinoAlexandria::new publicationsTesting the lag structure of assets' realized volatility dynamicsAudrino, F., Camponovo, L., & Roth, C. (2015). Testing the lag structure of assets' realized volatility dynamics. University of St. Gallen: SEPS Discussion Paper Series. --- A (conservative) test is constructed to investigate the optimal lag structure for forecasting realized volatility dynamics. The testing procedure relies on the recent theoretical results that show the ability of the adaptive least absolute shrinkage and selection operator (adaptive lasso) to combine efficient parameter estimation, variable selection, and valid inference for time series processes....
https://www.alexandria.unisg.ch/publications/238542
2015-01-15An Empirical Analysis of the Ross Recovery TheoremAudrino, F., Huitema, R., & Ludwig, M. ., University of St. Gallen (Eds.), (2014). An Empirical Analysis of the Ross Recovery Theorem: SEPS Economic Working Paper Series. --- Building on the results of Ludwig (2012), we propose a method to construct robust time-homogeneous Markov chains that capture the risk-neutral transition of state prices from current snapshots of option prices on the S&P 500 index. Using the recovery theorem of Ross (2013), we then derive the market’s forecast of the real-world return density and investigate the predictive information ...
https://www.alexandria.unisg.ch/publications/234838
2014-09-23Lassoing the HAR model: A Model Selection Perspective on Realized Volatility DynamicsAudrino, F., & Knaus, S. (2014). Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics. Econometric Reviews(forthcoming), 1-1. --- Realized volatility computed from high-frequency data is an important measure for many applications in finance and its dynamics have been widely investigated. Recent notable advances that perform well include the heterogeneous autoregressive (HAR) model which can approximate long memory, is very parsimonious, is easy to estimate, and features good out-of-sample performance.
We prove that the ...
https://www.alexandria.unisg.ch/publications/232154
2014-06-13Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance EstimationCorsi, F., Peluso, S., & Audrino, F. (2015). Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. Journal of Applied Econometrics, 30(3), 377-397, DOI:10.1002/jae.2378. --- 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 ...
https://www.alexandria.unisg.ch/publications/227469
2013-11-21Monetary policy regimes: implications for the yield curve and bond pricingFilipova, K., Audrino, F., & De Giorgi, E. (2014). Monetary policy regimes: implications for the yield curve and bond pricing. Journal of Financial Economics, 3(113), 427-454. --- 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-ï¿½arbitrage framework the regimes are ...
https://www.alexandria.unisg.ch/publications/227393
2013-11-18Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression ModelsAudrino, F., & Camponovo, L. (2013). Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models: SEPS Discussion paper series. --- 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 ...
https://www.alexandria.unisg.ch/publications/226455
2013-10-14Bond Risk Premia ForecastingAudrino, F., Corsi, F., & Filipova, K. (2014). Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators. Econometric Reviews, 2014(online seit 08.13 - forthcoming), 1-43, DOI:10.1080/07474938.2013.833809. --- 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 ...
https://www.alexandria.unisg.ch/publications/223242
2013-06-01Forecasting correlations during the late-2000s financial crisisAudrino, F. (2014). Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks. Computational Statistics & Data Analysis, 76(August 2014), 43-60, DOI:10.1016/j.csda.2013.06.002. --- 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 ...
https://www.alexandria.unisg.ch/publications/223241
2013-06-01Lassoing the HAR model: A Model Selection Perspective on Realized Volatility DynamicsAudrino, F., & Knaus, S., HSG (Eds.), (2012). Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics. Discussion paper series. St. Gallen: SEPS. --- 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 ...
https://www.alexandria.unisg.ch/publications/221837
2013-04-05Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency dataAudrino, F., & Fengler, M. (2015). Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. Journal of Banking and Finance, 61(.), 46-63, DOI:10.1016/j.jbankfin.2015.08.018. --- As a means of validating an option pricing model, we compare the ex-post intra-day realized variance of options with the realized variance of the associated underlying asset that would be implied using assumptions as in the Black and Scholes (BS) model, the Heston and the Bates model. Based on data for the S&P 500 index, we find that the BS model is strongly directionally biased due to the ...
https://www.alexandria.unisg.ch/publications/221836
2013-04-05