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~subject:"Zeitreihenanalyse"
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The Stability of Factor Models...
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Zeitreihenanalyse
Volatilität
31
Forecasting model
30
Prognoseverfahren
30
Estimation
28
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28
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28
Estimation theory
24
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Multivariate Analyse
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State space model
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English
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Audrino, Francesco
21
Camponovo, Lorenzo
6
Corsi, Fulvio
4
Roth, Constantin
4
Bühlmann, Peter
3
Filipova, Kameliya
2
Barone-Adesi, Giovanni
1
Buhlmann, Peter
1
De Giorgi, Enrico
1
Huang, Chen
1
Knaus, Simon D.
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
5
Econometric reviews
2
Quantitative finance and economics
2
Working papers on finance
2
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The journal of computational finance
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University of St. Gallen Department of Economics Discussion Paper
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ECONIS (ZBW)
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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
Saved in:
2
Splines for financial volatility
Audrino, Francesco
;
Bühlmann, Peter
-
2008
Persistent link: https://www.econbiz.de/10003903347
Saved in:
3
Modeling tick-by-tick realized correlations
Audrino, Francesco
;
Corsi, Fulvio
-
2008
Persistent link: https://www.econbiz.de/10003903352
Saved in:
4
Splines for financial volatility
Audrino, Francesco
;
Bühlmann, Peter
-
2007
Persistent link: https://www.econbiz.de/10003465238
Saved in:
5
Testing the lag structure of assets' realized volatility dynamics
Audrino, Francesco
;
Camponovo, Lorenzo
;
Roth, Constantin
-
2015
Persistent link: https://www.econbiz.de/10011289179
Saved in:
6
Oracle properties and finite sample inference of the adaptive lasso for time series regression models
Audrino, Francesco
;
Camponovo, Lorenzo
-
2013
Persistent link: https://www.econbiz.de/10010245672
Saved in:
7
Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco
;
Corsi, Fulvio
;
Filipova, Kameliya
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
Saved in:
8
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
9
Modeling tick-by-tick realized correlations
Audrino, Francesco
;
Corsi, Fulvio
-
2008
Persistent link: https://www.econbiz.de/10003723942
Saved in:
10
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. 959-977
Persistent link: https://www.econbiz.de/10002601077
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