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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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Splines for financial volatility
Audrino, Francesco; Bühlmann, Peter - 2008
Persistent link: https://www.econbiz.de/10003903347
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Forecasting implied volatility surfaces
Audrino, Francesco; Colangelo, Dominik - 2008
Persistent link: https://www.econbiz.de/10003903349
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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - 2008
Persistent link: https://www.econbiz.de/10003903350
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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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Realized correlation tick-by-tick
Corsi, Fulvio; Audrino, Francesco - 2007
Persistent link: https://www.econbiz.de/10003419771
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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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Splines for financial volatility
Audrino, Francesco; Bühlmann, Peter - 2007
Persistent link: https://www.econbiz.de/10003465238
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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
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A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco (contributor); Trojani, Fabio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674253