Information about:
Francesco Audrino

Other registered authors

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Homepage: http://www.people.lu.unisi.ch/audrinof/
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Affiliation

• Volkswirtschaftliche Abteilung (Department of Economics)
  Universität St. Gallen (University of St. Gallen)

  Location: Sankt Gallen, Switzerland
  Homepage: http://www.vwa.unisg.ch/
  Email:
  Phone:
  Fax:
  Postal: Dufourstrasse 50, CH - 9000 St.Gallen
  Handle: RePEc:edi:vwasgch (registered authors at this institution)

Working papers

1. Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009 2009-10, Department of Economics, University of St. Gallen. [Downloadable!]

2. Francesco Audrino & Dominik Colangelo, 2009. "Option trading strategies based on semi-parametric implied volatility surface prediction," University of St. Gallen Department of Economics working paper series 2009 2009-24, Department of Economics, University of St. Gallen. [Downloadable!]

3. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen. [Downloadable!]

4. Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008 2008-05, Department of Economics, University of St. Gallen. [Downloadable!]

5. Fulvio Corsi & Francesco Audrino, 2008. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," University of St. Gallen Department of Economics working paper series 2008 2008-04, Department of Economics, University of St. Gallen. [Downloadable!]

6. Fulvio Corsi & Francesco Audrino, 2007. "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007 2007-02, Department of Economics, University of St. Gallen. [Downloadable!]

7. Francesco Audrino & Dominik Colagelo, 2007. "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007 2007-42, Department of Economics, University of St. Gallen. [Downloadable!]

8. Francesco Audrino & Peter Bühlmann, 2007. "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007 2007-11, Department of Economics, University of St. Gallen. [Downloadable!]
   Published as:
   • Francesco Audrino & Peter Bühlmann, 2009. "Splines for financial volatility," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 655-670. [Downloadable!] (restricted)

9. Francesco Audrino & Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," University of St. Gallen Department of Economics working paper series 2007 2007-24, Department of Economics, University of St. Gallen. [Downloadable!]
   Published as:
   • Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," Journal of Financial Econometrics, Oxford University Press, vol. 5(4), pages 591-623, Fall. [Downloadable!] (restricted)

10. Fabio Trojani & Francesco Audrino, 2005. "Accurate Yield Curve Scenarios Generation using Functional Gradient Descent," Computing in Economics and Finance 2005 14, Society for Computational Economics. [Downloadable!]

11. Fabio Trojani & Francesco Audrino, 2005. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2005 2005-04, Department of Economics, University of St. Gallen. [Downloadable!]
    Other versions:
    • Francesco Audrino & Fabio Trojani, 2007. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2007 2007-25, Department of Economics, University of St. Gallen. [Downloadable!]

12. Francesco Audrino & Enrico De Giorgi, . "Beta Regimes for the Yield Curve," IEW - Working Papers iewwp244, Institute for Empirical Research in Economics - IEW. [Downloadable!]

1. Francesco Audrino & Peter Bühlmann, 2009. "Splines for financial volatility," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 655-670. [Downloadable!] (restricted)
   Other versions:
   • Francesco Audrino & Peter Bühlmann, 2007. "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007 2007-11, Department of Economics, University of St. Gallen. [Downloadable!]

2. Francesco Audrino & Robert Fernholz & Roberto Ferretti, 2007. "A Forecasting Model for Stock Market Diversity," Annals of Finance, Springer, vol. 3(2), pages 213-240, March. [Downloadable!] (restricted)

3. Audrino, Francesco, 2006. "The impact of general non-parametric volatility functions in multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3032-3052, July. [Downloadable!] (restricted)

4. Giovanni Barone-Adesi & Francesco Audrino, 2006. "Average conditional correlation and tree structures for multivariate GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(8), pages 579-600. [Downloadable!]

5. Audrino, Francesco & Barone-Adesi, Giovanni, 2006. "A dynamic model of expected bond returns: A functional gradient descent approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2267-2277, December. [Downloadable!] (restricted)

6. Fabio Trojani & Francesco Audrino, 2006. "Estimating and predicting multivariate volatility thresholds in global stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 345-369. [Downloadable!]

7. Audrino, Francesco, 2006. "Tree-Structured Multiple Regimes in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 338-353, July. [Downloadable!] (restricted)

8. Francesco Audrino, 2005. "Local Likelihood for non-parametric ARCH(1) models," Journal of Time Series Analysis, Blackwell Publishing, vol. 26(2), pages 251-278, 03. [Downloadable!] (restricted)

9. Audrino, Francesco & Barone-Adesi, Giovanni, 2005. "Functional gradient descent for financial time series with an application to the measurement of market risk," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 959-977, April. [Downloadable!] (restricted)

10. Francesco Audrino, 2005. "The Stability of Factor Models of Interest Rates," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 422-441. [Downloadable!] (restricted)

11. Francesco Audrino & Giovanni Barone-Adesi, 2005. "A multivariate FGD technique to improve VaR computation in equity markets," Computational Management Science, Springer, vol. 2(2), pages 87-106, 03. [Downloadable!] (restricted)

12. Francesco Audrino & Peter Bühlmann, 2001. "Tree-structured generalized autoregressive conditional heteroscedastic models," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 63(4), pages 727-744. [Downloadable!] (restricted)

1. NEP-CBA: Central Banking (1) 2008-09-13
2. NEP-CBE: Cognitive & Behavioural Economics (1) 2009-08-22
3. NEP-CMP: Computational Economics (1) 2007-07-20
4. NEP-ECM: Econometrics (11) 2005-05-29 2005-11-19 2007-03-31 2007-05-12 2007-07-20 2007-07-20 2007-11-24 2008-02-16 2008-02-16 2008-09-13 2009-06-17 Author is listed
5. NEP-ETS: Econometric Time Series (6) 2005-05-29 2007-03-31 2007-05-12 2007-07-20 2007-07-20 2007-11-24 Author is listed
6. NEP-EXP: Experimental Economics (1) 2009-08-22
7. NEP-FMK: Financial Markets (1) 2009-06-17
8. NEP-FOR: Forecasting (7) 2005-11-19 2007-03-31 2007-07-20 2007-07-20 2007-11-24 2008-02-16 2009-06-17 Author is listed
9. NEP-GTH: Game Theory (1) 2009-08-22
10. NEP-MAC: Macroeconomics (2) 2007-07-20 2008-09-13
11. NEP-MIC: Microeconomics (1) 2009-08-22
12. NEP-MON: Monetary Economics (2) 2007-07-20 2008-09-13
13. NEP-MST: Market Microstructure (3) 2007-03-31 2008-02-16 2008-02-16 Author is listed
14. NEP-RMG: Risk Management (3) 2007-03-31 2007-07-20 2007-07-20 Author is listed
15. NEP-UPT: Utility Models & Prospect Theory (1) 2009-08-22

This page was last updated on 2009-11-16.