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Francesco Audrino

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2010 – 2019

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2014
[j6]
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Francesco Audrino:
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks. Comput. Stat. Data Anal. 76: 43-60 (2014)
2010
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Francesco Audrino, Fulvio Corsi:
Modeling tick-by-tick realized correlations. Comput. Stat. Data Anal. 54(11): 2372-2382 (2010)
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Francesco Audrino, Dominik Colangelo:
Semi-parametric forecasts of the implied volatility surface using regression trees. Stat. Comput. 20(4): 421-434 (2010)

2000 – 2009

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2006
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Francesco Audrino:
The impact of general non-parametric volatility functions in multivariate GARCH models. Comput. Stat. Data Anal. 50(11): 3032-3052 (2006)
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Francesco Audrino, Giovanni Barone-Adesi:
A dynamic model of expected bond returns: A functional gradient descent approach. Comput. Stat. Data Anal. 51(4): 2267-2277 (2006)
2005
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Francesco Audrino, Giovanni Barone-Adesi:
A multivariate FGD technique to improve VaR computation in equity markets. Comput. Manag. Sci. 2(2): 87-106 (2005)

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