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Splines for financial volatility
Audrino, Francesco; Bühlmann, Peter - 2008
Persistent link: https://www.econbiz.de/10003903347
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Forecasting implied volatility surfaces
Audrino, Francesco; Colangelo, Dominik - 2008
Persistent link: https://www.econbiz.de/10003903349
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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/10003903350
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Modeling tick-by-tick realized correlations
Audrino, Francesco; Corsi, Fulvio - 2008
Persistent link: https://www.econbiz.de/10003903352
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A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco (contributor); Trojani, Fabio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674253
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Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco (contributor); Trojani, Fabio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674257