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Beta regimes for the yield curve
Audrino, Francesco; De Giorgi, Enrico - In: Journal of financial econometrics : official journal of … 5 (2007) 3, pp. 456-490
Persistent link: https://www.econbiz.de/10003518504
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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
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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
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The stability of factor models of interest rates
Audrino, Francesco; Barone-Adesi, Giovanni; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 422-441
Persistent link: https://www.econbiz.de/10002989126