Items where Author is "Audrino, F."
Group by: Item Type | No Grouping Jump to: Article | Book Section Number of items: 6. ArticleAudrino, F., Corsi, F. & Filipova, K. (2016). Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators. Econometric Reviews, 35(2), pp. 232-23. doi: 10.1080/07474938.2013.833809 Corsi, F., Peluso, S. & Audrino, F. (2015). Missing in Asynchronicity: A Kalman-em Approach for Multivariate Realized Covariance Estimation. Journal of Applied Econometrics, 30(3), pp. 377-397. doi: 10.1002/jae.2378 Corsi, F., Peluso, S. & Audrino, F. (2015). Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. Journal of Applied Econometrics, 30(3), pp. 377-397. doi: 10.1002/jae.2378 Corsi, F. & Audrino, F. (2012). Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects. Journal of Financial Econometrics, 10(4), pp. 591-616. doi: 10.1093/jjfinec/nbs007 Audrino, F. & Corsi, F. (2010). Modeling tick-by-tick realized correlations. Computational Statistics and Data Analysis, 54(11), pp. 2372-2382. doi: 10.1016/j.csda.2009.09.033 Book SectionCorsi, F., Audrino, F. & Reno, R. (2012). HAR Modeling for Realized Volatility Forecasting. In: Handbook of Volatility Models and Their Applications. (pp. 363-382). New Jersey, USA: John Wiley & Sons, Inc. ISBN 9780470872512 |