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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/10003773443

Modeling tick-by-tick realized correlations

Audrino, Francesco; Corsi, Fulvio - 2008

Persistent link: https://www.econbiz.de/10003903352

Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - 2010

Persistent link: https://www.econbiz.de/10008667690

Modeling and forecasting short-term interest rates : the benefits of smooth regimes, macroeconomic variables, and bagging

Audrino, Francesco; Medeiros, Marcelo C. - 2010

theory. …

Persistent link: https://www.econbiz.de/10008657360

Forecasting correlations during the late-2000s financial crisis : short-run component, long-run component, and structural breaks

Audrino, Francesco - 2011

We empirically investigate the predictive power of the various components affecting correlations that have been recently introduced in the literature. We focus on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover,...