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Publications by Francesco Audrino

Modeling and Forecasting Short-Term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging

Journal of Applied Econometrics

Social Sciences

English

Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information From a Panel of Indicators

Econometric Reviews

English

What Drives Short Rate Dynamics? A Functional Gradient Descent Approach

Computational Economics

Computer Science Applications

English

Lassoing the Har Model: A Model Selection Perspective on Realized Volatility Dynamics

SSRN Electronic Journal

English

Empirical Pricing Kernel Estimation Using a Functional Gradient Descent Algorithm Based on Splines

SSRN Electronic Journal

English

Splines for Financial Volatility

Journal of the Royal Statistical Society. Series B: Statistical Methodology

English

Volatility Estimation With Functional Gradient Descent for Very High-Dimensional Financial Time Series

Journal of Computational Finance

Applied Mathematics

Computer Science Applications

English