A Forecasting Model for Stock Market Diversity.
- Published in:
- Annals of Finance, 2007, v. 3, n. 2, p. 213, doi. 10.1007/s10436-006-0046-y
- By:
- Publication type:
- Article
Works by Audrino, Francesco
Results: 26
1
2
A multivariate FGD technique to improve VaR computation in equity markets.
- Published in:
- Computational Management Science, 2005, v. 2, n. 2, p. 87, doi. 10.1007/s10287-004-0028-3
- By:
- Publication type:
- Article
3
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach.
- Published in:
- Computational Economics, 2012, v. 39, n. 3, p. 315, doi. 10.1007/s10614-011-9310-y
- By:
- Publication type:
- Article
4
Predicting U.S. Bank Failures with MIDAS Logit Models.
- Published in:
- Journal of Financial & Quantitative Analysis, 2019, v. 54, n. 6, p. 2575, doi. 10.1017/S0022109018001308
- By:
- Publication type:
- Article
5
Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M‐Estimators.
- Published in:
- Journal of Time Series Analysis, 2018, v. 39, n. 2, p. 111, doi. 10.1111/jtsa.12270
- By:
- Publication type:
- Article
6
Splines for financial volatility.
- Published in:
- Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2009, v. 71, n. 3, p. 655, doi. 10.1111/j.1467-9868.2009.00696.x
- By:
- Publication type:
- Article
7
Tree-structured generalized autoregressive conditional heteroscedastic models.
- Published in:
- Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2001, v. 63, n. 4, p. 727, doi. 10.1111/1467-9868.00309
- By:
- Publication type:
- Article
8
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations.
- Published in:
- Journal of Business & Economic Statistics, 2011, v. 29, n. 1, p. 138, doi. 10.1198/jbes.2010.08117
- By:
- Publication type:
- Article
9
Tree-Structured Multiple Regimes in Interest Rates.
- Published in:
- Journal of Business & Economic Statistics, 2006, v. 24, n. 3, p. 338, doi. 10.1198/073500106000000053
- By:
- Publication type:
- Article
10
Average conditional correlation and tree structures for multivariate GARCH models.
- Published in:
- Journal of Forecasting, 2006, v. 25, n. 8, p. 579, doi. 10.1002/for.1014
- By:
- Publication type:
- Article
11
Flexible HAR model for realized volatility.
- Published in:
- Studies in Nonlinear Dynamics & Econometrics, 2019, v. 23, n. 3, p. N.PAG, doi. 10.1515/snde-2017-0080
- By:
- Publication type:
- Article
12
Strongest Team Favoritism in European National Football: Myth or Reality?
- Published in:
- International Journal of Sport Finance, 2020, v. 15, n. 3, p. 137, doi. 10.32731/jsf.2020.a927063
- By:
- Publication type:
- Article
13
How Does Post-Earnings Announcement Sentiment Affect Firms' Dynamics? New Evidence from Causal Machine Learning.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 575, doi. 10.1093/jjfinec/nbac018
- By:
- Publication type:
- Article
14
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device.
- Published in:
- Journal of Financial Econometrics, 2021, v. 19, n. 2, p. 291, doi. 10.1093/jjfinec/nbz002
- By:
- Publication type:
- Article
15
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects.
- Published in:
- Journal of Financial Econometrics, 2012, v. 10, n. 4, p. 591, doi. 10.1093/jjfinec/nbs007
- By:
- Publication type:
- Article
16
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent.
- Published in:
- Journal of Financial Econometrics, 2007, v. 5, n. 4, p. 591, doi. 10.1093/jjfinec/nbm011
- By:
- Publication type:
- Article
17
Beta Regimes for the Yield Curve.
- Published in:
- Journal of Financial Econometrics, 2007, v. 5, n. 3, p. 456, doi. 10.1093/jjfinec/nbm007
- By:
- Publication type:
- Article
18
The Stability of Factor Models of Interest Rates.
- Published in:
- Journal of Financial Econometrics, 2005, v. 3, n. 3, p. 422, doi. 10.1093/jjfinec/nbi019
- By:
- Publication type:
- Article
19
Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs.
- Published in:
- Journal of Quantitative Analysis in Sports, 2018, v. 14, n. 4, p. 185, doi. 10.1515/jqas-2018-0052
- By:
- Publication type:
- Article
20
Local Likelihood for non-parametric ARCH(1) models.
- Published in:
- Journal of Time Series Analysis, 2005, v. 26, n. 2, p. 251, doi. 10.1111/j.1467-9892.2005.00400.x
- By:
- Publication type:
- Article
21
The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section.
- Published in:
- Forecasting, 2022, v. 4, n. 4, p. 969, doi. 10.3390/forecast4040053
- By:
- Publication type:
- Article
22
Missing in Asynchronicity: A Kalman-em Approach for Multivariate Realized Covariance Estimation.
- Published in:
- Journal of Applied Econometrics, 2015, v. 30, n. 3, p. 377, doi. 10.1002/jae.2378
- By:
- Publication type:
- Article
23
Modeling and forecasting short-term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging.
- Published in:
- Journal of Applied Econometrics, 2011, v. 26, n. 6, p. 999, doi. 10.1002/jae.1171
- By:
- Publication type:
- Article
24
Estimating and predicting multivariate volatility thresholds in global stock markets.
- Published in:
- Journal of Applied Econometrics, 2006, v. 21, n. 3, p. 345, doi. 10.1002/jae.869
- By:
- Publication type:
- Article
25
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics.
- Published in:
- Econometric Reviews, 2016, v. 35, n. 8-10, p. 1485, doi. 10.1080/07474938.2015.1092801
- By:
- Publication type:
- Article
26
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators.
- Published in:
- Econometric Reviews, 2016, v. 35, n. 2, p. 232, doi. 10.1080/07474938.2013.833809
- By:
- Publication type:
- Article