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~isPartOf:"Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics"
~person:"Audrino, Francesco"
~person:"Fehr, Ernst"
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Audrino, Francesco
Fehr, Ernst
Kirchgässner, Gebhard
76
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
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1
Testing the lag structure of assets' realized volatility dynamics
Audrino, Francesco
;
Camponovo, Lorenzo
;
Roth, Constantin
-
2015
Persistent link: https://www.econbiz.de/10011289179
Saved in:
2
An empirical analysis of the Ross recovery theorem
Audrino, Francesco
;
Huitema, Robert
;
Ludwig, Markus
-
2014
Persistent link: https://www.econbiz.de/10010440285
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3
Oracle properties and finite sample inference of the adaptive lasso for time series regression models
Audrino, Francesco
;
Camponovo, Lorenzo
-
2013
Persistent link: https://www.econbiz.de/10010245672
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4
Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco
;
Fengler, Matthias
-
2013
Persistent link: https://www.econbiz.de/10009719695
Saved in:
5
Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco
;
Corsi, Fulvio
;
Filipova, Kameliya
-
2010
Persistent link: https://www.econbiz.de/10008667690
Saved in:
6
Lassoing the HAR model : a model selection perspective on realized volatility dynamics
Audrino, Francesco
;
Knaus, Simon D.
-
2012
Persistent link: https://www.econbiz.de/10009719911
Saved in:
7
Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio
;
Peluso, Stefano
;
Audrino, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009719912
Saved in:
8
Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines
Audrino, Francesco
;
Meier, Pirmin
-
2012
Persistent link: https://www.econbiz.de/10009719914
Saved in:
9
Yield curve predictability, regimes, and macroeconomic information : a data-driven approach
Audrino, Francesco
;
Filipova, Kameliya
-
2009
Persistent link: https://www.econbiz.de/10003885820
Saved in:
10
Option trading strategies based on semi-parametric implied volatility surface prediction
Audrino, Francesco
;
Colangelo, Dominik
-
2009
Persistent link: https://www.econbiz.de/10003885898
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