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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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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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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
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Yield curve predictability, regimes, and macroeconomic information : a data-driven approach
Audrino, Francesco; Filipova, Kameliya - 2009
Persistent link: https://www.econbiz.de/10003885820
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Option trading strategies based on semi-parametric implied volatility surface prediction
Audrino, Francesco; Colangelo, Dominik - 2009
Persistent link: https://www.econbiz.de/10003885898
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Forecasting implied volatility surfaces
Audrino, Francesco; Colangelo, Dominik - 2008
Persistent link: https://www.econbiz.de/10003903349
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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 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
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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
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Forecasting implied volatility surfaces
Audrino, Francesco; Colangelo, Dominik - 2007
Persistent link: https://www.econbiz.de/10003597924