Francesco Audrino

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Flexible HAR model for realized volatility Studies in Nonlinear Dynamics & Econometrics	2023-04-17	Paper
Lassoing the HAR model: a model selection perspective on realized volatility dynamics Econometric Reviews	2022-06-07	Paper
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators Econometric Reviews	2022-06-07	Paper
Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks Computational Statistics and Data Analysis	2018-11-23	Paper
Oracle properties, bias correction, and bootstrap inference for adaptive lasso for time series \(M\)-estimators Journal of Time Series Analysis	2018-03-09	Paper
Modeling tick-by-tick realized correlations Computational Statistics and Data Analysis	2014-04-14	Paper
Splines for financial volatility Journal of the Royal Statistical Society. Series B. Statistical Methodology	2012-10-25	Paper
What drives short rate dynamics? A functional gradient descent approach Computational Economics	2012-06-19	Paper
A forecasting model for stock market diversity Annals of Finance	2012-03-06	Paper
A general multivariate threshold GARCH model with dynamic conditional correlations Journal of Business and Economic Statistics	2011-04-13	Paper
A dynamic model of expected bond returns: A functional gradient descent approach Computational Statistics and Data Analysis	2009-04-06	Paper
The impact of general non-parametric volatility functions in multivariate GARCH models Computational Statistics and Data Analysis	2008-12-11	Paper
A multivariate FGD technique to improve VaR computation in equity markets Computational Management Science	2008-03-14	Paper
Local Likelihood for non‐parametric ARCH(1) models Journal of Time Series Analysis	2006-05-24	Paper
Tree-structured generalized autoregressive conditional heteroscedastic models Journal of the Royal Statistical Society. Series B. Statistical Methodology	2002-06-10	Paper

Research outcomes over time

This page was built for person: Francesco Audrino