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journal paper
Corsi, 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.
   
Audrino, 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.
   
Audrino, 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.
   
Filipova, K., Audrino, F., & De Giorgi, E. (2013). Monetary policy regimes: implications for the yield curve and bond pricing. Journal of Financial Economics(forthcoming), 1.
   
Audrino, 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.
   
Audrino, F. (2012). What drives short rate dynamics? A functional gradient descent approach. Computational Economics, 39(3), 315-335, DOI:10.1007/s10614-011-9310-y.
   
Audrino, F., & Colangelo, D. (2011). Option strategies based on semi-parametric implied volatility surface prediction. Journal of Investment Strategies, 1(1), 3-41.
   
Audrino, F., & Medeiros, M. C. (2011). Modeling and forecasting short-term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging. Journal of Applied Econometrics, 26(6), 999-1022, DOI:10.1002/jae.1171.
   
Audrino, F., & Trojani, F. (2011). A General Multivariate Threshold GARCH Model for Dynamic Correlations. Journal of Business and Economic Statistics, 29(1), 138-149, DOI:10.1198/jbes.2010.08117.
   
Audrino, F., & Corsi, F. (2010). Modeling tick-by-tick realized correlations. Computational Statistics and Data Analysis, 54(11), 2372-2382, DOI:10.1016/j.csda.2009.09.033.
   
Audrino, F., & Colangelo, D. (2010). Semi-parametric forecasts of the implied volatility surface using regression trees. Statistics and Computing, 20(4), 421-434, DOI:10.1007/s11222-009-9134-y.
   
Audrino, F., & Bühlmann, P. (2009). Splines for Financial Volatility. Journal of the Royal Statistical Society, Series B, 71(3), 655-670.
   
Audrino, F., & Trojani, F. (2007). Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent. Journal of Financial Econometrics, 5(4), 591-623.
   
Audrino, F., & De Giorgi, E. (2007). Beta regimes for the Yield Curve. Journal of Financial Econometrics, 5(3), 456-490.
   
Audrino, F., Fernholz, R., & Ferretti, R. (2007). A forecasting model for stock market diversity. Annals of Finance, 3, 213-240.
   
Audrino, F., & Barone Adesi, G. (2006). Average Conditional Correlation and Tree Structures for Multivariate GARCH Models. Journal of Forecasting, 25(8), 579-600.
   
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.
   
Audrino, F. (2006). Tree-structured multiple regimes in interest rates. Journal of Business & Economic Statistics, 24(3), 338-353.
   
Audrino, F., & Trojani, F. (2006). Estimating and predicting multivariate volatility thresholds in global stock markets. Journal of Applied Econometrics, 21, 345-369.
   
Audrino, F. (2006). The impact of general non-parametric volatility functions in multivariate GARCH models. Computational Statistics & Data Analysis, 50, 3032-3052.
   
Audrino, F. (2005). Local Likelihood for non paramentric ARCH(1) models. Journal of Time Series Analysis, 26(2), 251-278.
   
Audrino, F., & Barone Adesi, G. (2005). A multivariate FGD technique to improve VaR computation in equity markets. Computational Management Science, 2, 87-106.
   
Audrino, F., Barone Adesi, G., & Mira, A. (2005). The stability of factor models of interest rates. Journal of Financial Econometrics, 3(3), 422-441.
   
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.
   
Audrino, F., & Bühlmann, P. (2004). Synchronizing multivariate financial time series. Journal of Risk, 6(2), 81-106.
   
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.
   
Audrino, F., & Bühlmann, P. (2001). Tree-structured GARCH models. Journal of the Royal Statistical Society, Series B, 63(4), 727-744.
   
book chapter
Audrino, 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.
   
working paper
Audrino, F., & Camponovo, L. (2013). Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models: SEPS Discussion paper series.
   
Audrino, 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.
   
Filipova, K., Audrino, F., & De Giorgi, E. (2013). Monetary Policy Regimes: Implications for the Yield Curve and Bond Pricing: http://ssrn.com/abstract=2232742.
   
Audrino, F., & Knaus, S., HSG (Eds.), (2012). Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics. Discussion paper series. St. Gallen: SEPS.
   
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.
   
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.
   
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.
   
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.
   
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.
   
Audrino, F., & Corsi, F. (2008). Modeling Tick-by-Tick Realized Correlations: Discussion Papers. 2008. St. Gallen: Volkswirtschaftliche Abteilung Universität St. Gallen.
   
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.
   
Audrino, F., & Colangelo, D. (2007). Forecasting Implied Volatility Surfaces. VWA Discussion Papers Series: University of St. Gallen.
   
Audrino, F., & Colangelo, D. (2007). Forecasting Implied Volatility Surfaces: 2007-42, VWA Discussion Papers Series, HSG St. Gallen.
   
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.
   
Audrino, F., & Trojani, F. (2007). Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent: 2007-24, VWA Discussion Papers Series, HSG St. Gallen.
   
Audrino, F., & Bühlmann, P. (2007). Splines for Financial Volatility: 2007-11, VWA Discussion Papers Series, HSG St. Gallen.
   
Audrino, F., & Corsi, F. (2007). Realized Correlation Tick-by-Tick: 2007-02, VWA Discussion Papers Series, HSG St. Gallen.
   
Audrino, F., & Trojani, F. (2005). A general multivariate threshold GARCH model with dynamic conditional correlations: 2005-04, VWA Discussion Papers Series, HSG St. Gallen.
   
 
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*citation format: APA 5