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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - 2008
Persistent link: https://www.econbiz.de/10004478795
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Forecasting implied volatility surfaces
Audrino, Francesco; Colangelo, Dominik - 2007
Persistent link: https://www.econbiz.de/10004909254
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Modeling tick-by-tick realized correlations
Audrino, Francesco; Corsi, Fulvio - 2008
Persistent link: https://www.econbiz.de/10004911116
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Smooth regimes, macroeconomic variables, and bagging for the short-term interest rate process
Audrino, Francesco; Medeiros, Marcelo C. - 2008
Persistent link: https://www.econbiz.de/10004918358