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Functional gradient descent for financial time series with an application to the measurement of market risk
Audrino, Francesco; Barone-Adesi, Giovanni - In: Journal of banking & finance 29 (2005) 4, pp. 959-978
Persistent link: https://www.econbiz.de/10005879003
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Average conditional correlation and tree structures for multivariate GARCH models
Audrino, Francesco; Barone-Adesi, Giovanni - In: Journal of forecasting 25 (2006) 8, pp. 579
Persistent link: https://www.econbiz.de/10007393853
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Tree-Structured Multiple Regimes in Interest Rates
Audrino, Francesco - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 3, pp. 338-353
Persistent link: https://www.econbiz.de/10008222497
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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. 138-150
Persistent link: https://www.econbiz.de/10008817709
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What Drives Short Rate Dynamics? A Functional Gradient Descent Approach
Audrino, Francesco - In: Computational economics 39 (2012) 3, pp. 315-336
Persistent link: https://www.econbiz.de/10009839637
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Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging
Audrino, Francesco; Medeiros, Marcelo C. - In: Journal of applied econometrics 26 (2011) 6, pp. 999-1023
Persistent link: https://www.econbiz.de/10009290253
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Estimating and predicting multivariate volatility thresholds in global stock markets
Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-370
Persistent link: https://www.econbiz.de/10006954763
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Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem
Sorwar, Ghulam; Barone-Adesi, Giovanni - In: Applied mathematical finance 18 (2011) 4, pp. 277-290
Persistent link: https://www.econbiz.de/10009988443
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A GARCH Option Pricing Model with Filtered Historical Simulation
Barone-Adesi, Giovanni; Engle, Robert F.; Mancini, Loriano - In: The review of financial studies 21 (2013) 3, pp. 1223-1222
Persistent link: https://www.econbiz.de/10010113794
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Barrier Option Pricing Using Adjusted Transition Probabilities
Barone-Adesi, Giovanni; Fusari, Nicola; Theal, John - In: The journal of derivatives : the official publication … 16 (2008) 2, pp. 36-53
Persistent link: https://www.econbiz.de/10008153360