https://www.alexandria.unisg.ch
University of St.Gallenennew publications - Francesco AudrinoAlexandria::new publicationsMissing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance EstimationCorsi, F., Peluso, S., & Audrino, F. (2014). Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. Journal of Applied Econometrics, 2014(online 01.14 - forthcoming), 1-21, 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. (2013). Monetary policy regimes: implications for the yield curve and bond pricing. Journal of Financial Economics(forthcoming), 1. --- 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 Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of IndicatorsAudrino, 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 crisis: short-run component, long-run component, and structural breaksAudrino, F. (2014). Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks. Computational Statistics & Data Analysis, 2014(online seit 06.13 - forthcoming), 1-1, 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., HSG (Eds.), (2013). Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. Discussion paper series. St. Gallen: SEPS. --- 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 ...
https://www.alexandria.unisg.ch/publications/221836
2013-04-05Monetary Policy Regimes: Implications for the Yield Curve and Bond PricingFilipova, K., Audrino, F., & De Giorgi, E. (2013). Monetary Policy Regimes: Implications for the Yield Curve and Bond Pricing: http://ssrn.com/abstract=2232742. --- 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 ...
https://www.alexandria.unisg.ch/publications/221675
2013-03-28Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure EffectsAudrino, F., & Corsi, F. (2012). Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects. Journal of Financial Econometrics, 10(4), 591-616, DOI:10.1093/jjfinec/nbs007. --- 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...
https://www.alexandria.unisg.ch/publications/210621
2012-03-16HAR Modeling for Realized Volatility ForecastingAudrino, F., Corsi, F., & Reno, R. (2012). HAR Modeling for Realized Volatility Forecasting. In Handbook of Volatility Models and their Applications (pp. 363-382). Hoboken, N.J.: Wiley. - ISBN 978-0-470-87251-2. ---
https://www.alexandria.unisg.ch/publications/209933
2012-02-28