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The Stability of Factor Models...
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Schätzung
Volatilität
31
Forecasting model
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Prognoseverfahren
30
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28
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28
Estimation theory
24
Schätztheorie
24
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21
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16
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16
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16
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14
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10
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10
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10
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10
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8
Correlation
8
Korrelation
8
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8
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8
Macroeconomic variables
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7
Multivariate Analyse
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Option pricing theory
7
Optionspreistheorie
7
State space model
7
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7
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Audrino, Francesco
28
Corsi, Fulvio
4
Trojani, Fabio
4
Ballinari, Daniele
3
Camponovo, Lorenzo
3
Colangelo, Dominik
3
Filipova, Kameliya
3
Roth, Constantin
3
Sigrist, Fabio
2
Bühlmann, Peter
1
De Giorgi, Enrico
1
Fernholz, Robert
1
Ferretti, Roberto G.
1
Huang, Chen
1
Medeiros, Marcelo C.
1
Meier, Pirmin
1
Offner, Eric
1
Offner, Eric A.
1
Okhrin, Ostap
1
Sigrist, Fabio Roman Albert
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
7
Working papers on finance
3
International review of financial analysis
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of finance
1
Computational economics
1
Econometric reviews
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial economics
1
Quantitative finance and economics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The journal of computational finance
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ECONIS (ZBW)
28
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1
What drives short rate dynamics? : a functional gradient descent approach
Audrino, Francesco
- In:
Computational economics
39
(
2012
)
3
,
pp. 315-335
Persistent link: https://www.econbiz.de/10009513144
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2
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/10003349357
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3
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
Saved in:
4
Yield curve predictability, regimes, and macroeconomic information : a data-driven approach
Audrino, Francesco
;
Filipova, Kameliya
-
2009
Persistent link: https://www.econbiz.de/10003885820
Saved in:
5
Option trading strategies based on semi-parametric implied volatility surface prediction
Audrino, Francesco
;
Colangelo, Dominik
-
2009
Persistent link: https://www.econbiz.de/10003885898
Saved in:
6
Forecasting implied volatility surfaces
Audrino, Francesco
;
Colangelo, Dominik
-
2008
Persistent link: https://www.econbiz.de/10003903349
Saved in:
7
Modeling tick-by-tick realized correlations
Audrino, Francesco
;
Corsi, Fulvio
-
2008
Persistent link: https://www.econbiz.de/10003903352
Saved in:
8
A forecasting model for stock market diversity
Audrino, Francesco
;
Fernholz, Robert
;
Ferretti, Roberto G.
- In:
Annals of finance
3
(
2007
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10003425362
Saved in:
9
Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco
(
contributor
);
Trojani, Fabio
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003674257
Saved in:
10
Forecasting implied volatility surfaces
Audrino, Francesco
;
Colangelo, Dominik
-
2007
Persistent link: https://www.econbiz.de/10003597924
Saved in:
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