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person:"Audrino, Francesco"
type_genre:"Arbeitspapier"
~subject:"Dynamische Optimierung"
~subject:"Estimation"
~subject:"Multivariate analysis"
~type_genre:"Article in journal"
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Dynamische Optimierung
Estimation
Multivariate analysis
Estimation theory
17
Schätztheorie
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ARCH model
9
ARCH-Modell
9
USA
9
United States
9
Forecasting model
7
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Optionsgeschäft
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Audrino, Francesco
Gao, Jiti
37
Linton, Oliver
28
Kapetanios, George
25
Pesaran, M. Hashem
24
Cai, Zongwu
23
Härdle, Wolfgang
23
Marcellino, Massimiliano
19
Hsu, Yu-Chin
18
Kumbhakar, Subal
16
Koop, Gary
15
Lütkepohl, Helmut
15
Tauchen, George Eugene
15
Su, Liangjun
14
Phillips, Peter C. B.
13
Hafner, Christian M.
12
Hoderlein, Stefan
12
Jochmans, Koen
12
Sentana, Enrique
12
Shephard, Neil G.
12
Todorov, Viktor
12
Weidner, Martin
12
Baltagi, Badi H.
11
Berg, Gerard J. van den
11
Diebold, Francis X.
11
Fang, Ying
11
Gouriéroux, Christian
11
Kitagawa, Toru
11
Lechner, Michael
11
Card, David E.
10
Fernández-Val, Iván
10
Herwartz, Helmut
10
Huber, Florian
10
Koopman, Siem Jan
10
Lee, David S.
10
Park, Joon Y.
10
Pei, Zhuan
10
Zakoïan, Jean-Michel
10
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9
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
4
Working papers on finance
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
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1
Forecasting implied volatility surfaces
Audrino, Francesco
;
Colangelo, Dominik
-
2008
Persistent link: https://www.econbiz.de/10003903349
Saved in:
2
A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco
(
contributor
);
Trojani, Fabio
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003674253
Saved in:
3
Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco
(
contributor
);
Trojani, Fabio
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003674257
Saved in:
4
Forecasting implied volatility surfaces
Audrino, Francesco
;
Colangelo, Dominik
-
2007
Persistent link: https://www.econbiz.de/10003597924
Saved in:
5
Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco
;
Trojani, Fabio
-
2007
Persistent link: https://www.econbiz.de/10003514617
Saved in:
6
A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco
;
Trojani, Fabio
-
2007
-
Rev. version
Persistent link: https://www.econbiz.de/10003514621
Saved in:
7
A general multivariate threshold GARCH model with dynamic conditional correlations
Trojani, Fabio
;
Audrino, Francesco
-
2005
Persistent link: https://www.econbiz.de/10002771808
Saved in:
8
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
9
A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco
;
Trojani, Fabio
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
1
,
pp. 138-149
Persistent link: https://www.econbiz.de/10009159099
Saved in:
10
Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
4
,
pp. 591-623
Persistent link: https://www.econbiz.de/10003570734
Saved in:
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