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The Stability of Factor Models...
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Volatilität
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Audrino, Francesco
165
Trojani, Fabio
27
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24
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15
Camponovo, Lorenzo
10
Filipova, Kameliya
10
Medeiros, Marcelo C.
10
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Hu, Yujia
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4
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School of Economics and Political Science, Universität St. Gallen
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
21
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9
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ECONIS (ZBW)
95
RePEc
46
USB Cologne (business full texts)
11
OLC EcoSci
7
USB Cologne (EcoSocSci)
4
EconStor
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41
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:
42
Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio
;
Peluso, Stefano
;
Audrino, Francesco
- In:
Journal of applied econometrics
30
(
2015
)
3
,
pp. 377-397
Persistent link: https://www.econbiz.de/10011327583
Saved in:
43
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. 999-1022
Persistent link: https://www.econbiz.de/10009408836
Saved in:
44
Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco
;
Fengler, Matthias
-
2013
Persistent link: https://www.econbiz.de/10009719695
Saved in:
45
Lassoing the HAR model : a model selection perspective on realized volatility dynamics
Audrino, Francesco
;
Knaus, Simon D.
-
2012
Persistent link: https://www.econbiz.de/10009719911
Saved in:
46
Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio
;
Peluso, Stefano
;
Audrino, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009719912
Saved in:
47
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines
Audrino, Francesco
;
Meier, Pirmin
-
2012
Persistent link: https://www.econbiz.de/10009719914
Saved in:
48
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:
49
Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco
;
Fengler, Matthias
- In:
Journal of banking & finance
61
(
2015
),
pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
Saved in:
50
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:
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