Francesco Audrino

Available identifiers

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

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