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Testing the lag structure of assets' realized volatility dynamics
Audrino, Francesco; Camponovo, Lorenzo; Roth, Constantin - 2015
Persistent link: https://www.econbiz.de/10011289179
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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
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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
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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
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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
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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
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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
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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
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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
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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 - In: Econometric reviews 35 (2016) 1/4, pp. 232-256
Persistent link: https://www.econbiz.de/10011549916