Francesco Audrino

Publication Activity (10 Years)

Years Active: 2005-2014
Publications (10 Years): 0

Top Topics

Queueing Networks

Financial Crisis

Dynamic Programming

Top Venues

Comput. Stat. Data Anal.

Publications

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 (2014)
Francesco Audrino, Fulvio Corsi
Modeling tick-by-tick realized correlations. Comput. Stat. Data Anal. 54 (11) (2010)
Francesco Audrino, Dominik Colangelo
Semi-parametric forecasts of the implied volatility surface using regression trees. Stat. Comput. 20 (4) (2010)
Francesco Audrino
The impact of general non-parametric volatility functions in multivariate GARCH models. Comput. Stat. Data Anal. 50 (11) (2006)
Francesco Audrino, Giovanni Barone-Adesi
A dynamic model of expected bond returns: A functional gradient descent approach. Comput. Stat. Data Anal. 51 (4) (2006)
Francesco Audrino, Giovanni Barone-Adesi
A multivariate FGD technique to improve VaR computation in equity markets. Comput. Manag. Sci. 2 (2) (2005)