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Number of items: 66.

Forthcoming

Item Audrino, Francesco; Huitema, Robert & Ludwig, Markus (2019) An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device. Journal of Financial Econometrics, ISSN 1479-8409

Item Audrino, Francesco; Sigrist, Fabio & Ballinari, Daniele (2019) The impact of sentiment and attention measures on stock market volatility. International Journal of Forecasting, ISSN 0169-2070

Journal paper

Item Audrino, Francesco; Kostrov, Alexander & Ortega, Juan-Pablo (2019) Predicting U.S. Bank Failures with MIDAS Logit Models. Journal of Financial and Quantitative Analysis, 54 (6). 2575-2603. ISSN 0022-1090

Item Audrino, Francesco & Tetereva, Anastasija (2019) Sentiment spillover effects for US and European companies. Journal of Banking and Finance, 106 542-567. ISSN 0378-4266

Item Audrino, Francesco; Huang, Chen & Ostap, Okhrin (2019) Flexible HAR Model for Realized Volatility. Studies in Nonlinear Dynamics and Econometrics, 23 (3). ISSN 1558-3708

Item Audrino, Francesco; Camponovo, Lorenzo & Roth, Constantin (2019) Wild multiplicative bootstrap for M and GMM estimators in time series. Quantitative Finance and Economics, 3 (1). 165-186.

Item Audrino, Francesco (2018) Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs. Journal of Quantitative Analysis in Sports, 14 (4). 185-199. ISSN 1559-0410

Item Audrino, Francesco & Camponovo, Lorenzo (2018) Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M-Estimators. Journal of time series analysis, 39 (2). 111-128. ISSN 0143-9782

Item Audrino, Francesco; Camponovo, Lorenzo & Roth, Constantin (2017) Testing the lag structure of assets' realized volatility dynamics. Quantitative Finance and Economics (QFE), 1 (4). 363-387.

Item Audrino, Francesco & Hu, Yujia (2016) Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. Econometrics, 4 (1). 8. ISSN 2225-1146

Item Audrino, Francesco & Fengler, Matthias (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. ISSN 0378-4266

Item Corsi, Fulvio; Peluso, Stefano & Audrino, Francesco (2015) Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. Journal of Applied Econometrics, 30 (3). 377-397. ISSN 0883-7252

Item Filipova, Kameliya; Audrino, Francesco & De Giorgi, Enrico (2014) Monetary policy regimes: implications for the yield curve and bond pricing. Journal of Financial Economics, 3 (113). 427-454. ISSN 0304-405X

Item Audrino, Francesco (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. ISSN 0167-9473

Item Audrino, Francesco & Knaus, Simon (2014) Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics. Econometric Reviews, (35). 1485-1521. ISSN 0747-4938

Item Audrino, Francesco; Corsi, Fulvio & Filipova, Kameliya (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. ISSN 0747-4938

Item Audrino, Francesco & Corsi, Fulvio (2012) Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects. Journal of Financial Econometrics, 10 (4). 591-616. ISSN 1479-8409

Item Audrino, Francesco (2012) What drives short rate dynamics? A functional gradient descent approach. Computational Economics, 39 (3). 315-335. ISSN 0927-7099

Item Audrino, Francesco & Colangelo, Dominik (2011) Option strategies based on semi-parametric implied volatility surface prediction. Journal of Investment Strategies, 1 (1). 3-41. ISSN 1460-1559

Item Audrino, Francesco & Medeiros, Marcelo 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. ISSN 0883-7252

Item Audrino, Francesco & Trojani, Fabio (2011) A General Multivariate Threshold GARCH Model for Dynamic Correlations. Journal of Business and Economic Statistics, 29 (1). 138-149. ISSN 0735-0015

Item Audrino, Francesco & Corsi, Fulvio (2010) Modeling tick-by-tick realized correlations. Computational Statistics and Data Analysis, 54 (11). 2372-2382. ISSN 0167-9473

Item Audrino, Francesco & Colangelo, Dominik (2010) Semi-parametric forecasts of the implied volatility surface using regression trees. Statistics and Computing, 20 (4). 421-434. ISSN 0960-3174

Item Audrino, Francesco & Bühlmann, Peter (2009) Splines for Financial Volatility. Journal of the Royal Statistical Society, Series B, 71 (3). 655-670. ISSN 1369-7412

Item Audrino, Francesco & Trojani, Fabio (2007) Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent. Journal of Financial Econometrics, 5 (4). 591-623. ISSN 1479-8409

Item Audrino, Francesco & De Giorgi, Enrico (2007) Beta regimes for the Yield Curve. Journal of Financial Econometrics, 5 (3). 456-490. ISSN 1479-8409

Item Audrino, Francesco; Fernholz, Robert & Ferretti, Roberto (2007) A Forecasting Model for Stock Market Diversity. Annals of Finance, 3 (2). 213-240. ISSN 1614-2446

Item Audrino, Francesco & Barone Adesi, Giovanni (2006) A dynamic model of expected bond returns: A functional gradient descent approach. Computational Statistics & Data Analysis, 51 (4). 2267-2277. ISSN 0167-9473

Item Audrino, Francesco & Barone Adesi, Giovanni (2006) Average Conditional Correlation and Tree Structures for Multivariate GARCH Models. Journal of Forecasting, 25 (8). 579-600. ISSN 0277-6693

Item Audrino, Francesco (2006) Tree-structured multiple regimes in interest rates. Journal of Business & Economic Statistics, 24 (3). 338-353. ISSN 0735-0015

Item Audrino, Francesco (2006) The impact of general non-parametric volatility functions in multivariate GARCH models. Computational Statistics & Data Analysis, 50 (11). 3032-3052. ISSN 0167-9473

Item Audrino, Francesco & Trojani, Fabio (2006) Estimating and predicting multivariate volatility thresholds in global stock markets. Journal of Applied Econometrics, 21 (3). 345-369. ISSN 0883-7252

Item Audrino, Francesco & Barone Adesi, Giovanni (2005) Functional gradient descent for financial time series with an application to the measurement of market risk. Journal of Banking & Finance, 29 (4). 959-977. ISSN 0378-4266

Item Audrino, Francesco (2005) Local Likelihood for non paramentric ARCH(1) models. Journal of Time Series Analysis, 26 (2). 251-278. ISSN 0143-9782

Item Audrino, Francesco & Barone Adesi, Giovanni (2005) A multivariate FGD technique to improve VaR computation in equity markets. Computational Management Science, 2 (2). 87-106. ISSN 1619-697X

Item Audrino, Francesco; Barone Adesi, Giovanni & Mira, Antonietta (2005) The stability of factor models of interest rates. Journal of Financial Econometrics, 3 (3). 422-441. ISSN 1479-8409

Item Audrino, Francesco & Bühlmann, Peter (2004) Synchronizing multivariate financial time series. Journal of Risk, 6 (2). 81-106. ISSN 1465-1211

Item Audrino, Francesco & Bühlmann, Peter (2003) Volatility estimation with functional gradient descent for very high-dimensional financial time series. Journal of Computational Finance, 6 (3). 65-89. ISSN 1742-7185

Item Audrino, Francesco & Bühlmann, Peter (2001) Tree-structured generalized autoregressive conditional heteroscedastic models. Journal of the Royal Statistical Society, Series B, 63 (4). 727-744. ISSN 1369-7412

Book Section

Item Corsi, Fulvio; Audrino, Francesco & Reno, Roberto: HAR Modeling for Realized Volatility Forecasting. In Bauwens, Luc; Hafner, Christian & Laurent, Sebastien (ed.): Handbook of Volatility Models and their Applications. Hoboken, N.J. : Wiley, 2012, S. 363-382. [img]

Monograph

Item Audrino, Francesco; Ballinari, Daniele & Sigrist, Fabio: The impact of sentiment and attention measures on stock market volatility. , 2018,

Item Audrino, Francesco; Kostrov, Alexander & Ortega, Juan-Pablo: Extending the logit model with Midas aggregation: The case of US bank failures. , 2018, [img]

Preview

Item Audrino, Francesco & Tetereva, Anastasija: Sentiment spillover effects for US and European companies. [Monograph] [img]

Preview

Item Messmer, Marcial & Audrino, Francesco: The (adaptive) Lasso in the Zoo - Firm Characteristic Selection in the Cross-Section of Expected Returns. [Monograph] [img]

Preview

Item Audrino, Francesco; Huang, Chen & Okhrin, Ostap: Flexible HAR Model for Realized Volatility. , 2016, [img]

Preview

Item Audrino, Francesco; Camponovo, Lorenzo & Roth, Constantin: Testing the lag structure of assets' realized volatility dynamics. , 2015,

Item Audrino, Francesco; Huitema, Robert & Ludwig, Markus: An Empirical Analysis of the Ross Recovery Theorem. , 2014, 1411.

Item Filipova, Kameliya; Audrino, Francesco & De Giorgi, Enrico: Monetary Policy Regimes: Implications for the Yield Curve and Bond Pricing. , 2013,

Item Audrino, Francesco & Camponovo, Lorenzo: Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models. , 2013,

Item Audrino, Francesco & Knaus, Simon: Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics. Discussion paper series, 2012, 1224.

Item Audrino, Francesco; Corsi, Fulvio & Peluso, Stefano: Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. , 2012,

Item Audrino, Francesco: Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks. Discussion papers in economics, 2011, 2011-12.

Item Audrino, Francesco: Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators. VWA Discussion Paper Series, 2010,

Item Audrino, Francesco & Filipova, Kameliya: Yield Curve Predictability, Regimes, and Macroeconomic Information : A Data-Driven Approach. University of St. Gallen Department of Economics working paper series 2009, 2009, 2009-10.

Item Audrino, Francesco & Corsi, Fulvio: Modeling Tick-by-Tick Realized Correlations : Discussion Papers. 2008, 2008,

Item Audrino, Francesco & Corsi, Fulvio: Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects : Discussion papers. 2008, 2008,

Item Audrino, Francesco & Madeiros, Marcelo C.: Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process : Discussion papers. 2008, 2008,

Item Audrino, Francesco & Trojani, Fabio: Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent. , 2007,

Item Audrino, Francesco & Colangelo, Dominik: Forecasting Implied Volatility Surfaces. , 2007,

Item Audrino, Francesco & Colangelo, Dominik: Forecasting Implied Volatility Surfaces. VWA Discussion Papers Series, 2007,

Item Audrino, Francesco & Corsi, Fulvio: Realized Correlation Tick-by-Tick. , 2007,

Item Audrino, Francesco & Bühlmann, Peter: Splines for Financial Volatility. , 2007,

Item Audrino, Francesco & Trojani, Fabio: A general multivariate threshold GARCH model with dynamic conditional correlations (Revised Version of Paper no. 2005-04). , 2007, [img]

Preview

Item Audrino, Francesco & Trojani, Fabio: A general multivariate threshold GARCH model with dynamic conditional correlations. , 2005,

Item Audrino, Francesco & Trojani, Fabio: Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets,. , 2003,

Item Audrino, Francesco & Trojani, Fabio: Historical Yield Curve Scenarios Generation without Resorting to Variance Reduction Techniques,. , 2003,

This list was generated on Sat Apr 4 01:34:23 2020 CEST.
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