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Francesco Audrino

According to our database1, Francesco Audrino authored at least 6 papers between 2005 and 2014.

Collaborative distances:
  • Dijkstra number2 of six.
  • Erdős number3 of six.

Timeline

Legend:

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PhD thesis 
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Links

On csauthors.net:

Bibliography

2014
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks.
[BibTeX]
[DOI]
Francesco Audrino
Comput. Stat. Data Anal., 2014

2010
Semi-parametric forecasts of the implied volatility surface using regression trees.
[BibTeX]
[DOI]
Francesco Audrino
,
Dominik Colangelo
Stat. Comput., 2010

Modeling tick-by-tick realized correlations.
[BibTeX]
[DOI]
Francesco Audrino
,
Fulvio Corsi
Comput. Stat. Data Anal., 2010

2006
A dynamic model of expected bond returns: A functional gradient descent approach.
[BibTeX]
[DOI]
Francesco Audrino
,
Giovanni Barone-Adesi
Comput. Stat. Data Anal., 2006

The impact of general non-parametric volatility functions in multivariate GARCH models.
[BibTeX]
[DOI]
Francesco Audrino
Comput. Stat. Data Anal., 2006

2005
A multivariate FGD technique to improve VaR computation in equity markets.
[BibTeX]
[DOI]
Francesco Audrino
,
Giovanni Barone-Adesi
Comput. Manag. Sci., 2005


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