Francesco Audrino
Biographic Data
| ID | 8921314 |
|---|---|
| NAME | Francesco Audrino |
| GIVEN NAMES | Francesco |
| FAMILY NAME | Audrino |
| SIGNATURE | AUDRINO F |
| AFFILIATIONS | Università della Svizzera italiana |
| ORCID | 0000-0002-2038-9362 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2006 |
| LATEST PUBLICATION YEAR | 2011 |
| H-INDEX | 0 |
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
We introduce a new multivariate GARCH model with multivariate thresholds in conditional correlations and develop a two-step estimation procedure that is feasible in large dimensional applications. Optimal threshold functions are estimated endogenously from the data and the model conditional covariance matrix is ensured to be positive definite. We study the empirical performance of our model in two applications using U.S. stock and bond market dat…
Tree-Structured Multiple Regimes in Interest Rates
This article develops a generalized tree-structured (GTS) model of the short-term interest rate that accommodates regime-dependent mean reversion and regime-dependent volatility clustering and level effects in the conditional variance. The model is constructed using the idea of multivariate tree-structured thresholds and nests the popular generalized autoregressive conditional heteroscedasticity and square root processes as simple special cases. …
No prominent works on this page.
Tree-Structured Multiple Regimes in Interest Rates
This article develops a generalized tree-structured (GTS) model of the short-term interest rate that accommodates regime-dependent mean reversion and regime-dependent volatility clustering and level effects in the conditional variance. The model is constructed using the idea of multivariate tree-structured thresholds and nests the popular generalized autoregressive conditional heteroscedasticity and square root processes as simple special cases. …
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
We introduce a new multivariate GARCH model with multivariate thresholds in conditional correlations and develop a two-step estimation procedure that is feasible in large dimensional applications. Optimal threshold functions are estimated endogenously from the data and the model conditional covariance matrix is ensured to be positive definite. We study the empirical performance of our model in two applications using U.S. stock and bond market dat…
Autoregressive conditional heteroskedasticity (2 works) · Conditional variance (2 works) · Econometrics (2 works) · Economics (2 works) · Financial Risk and Volatility Modeling (2 works) · Mathematics (2 works) · Monetary Policy and Economic Impact (2 works) · Statistics (2 works) · Autoregressive model (1 work) · Conditional probability distribution (1 work)