Publikationsverzeichnis 2006 - Alexandria - Universität St.Gallen

Fachbereich für Mathematik und Statistik
Prof. Dr. Francesco Audrino
School Management
Artikel (wissenschaftliche Zeitschrift)
Audrino, Francesco ; Barone Adesi, Giovanni: Average Conditional Correlation and Tree
Structures for Multivariate GARCH Models. In: Journal of Forecasting 25 (2006), Nr. 8, S.
579-600.
Audrino, Francesco ; Barone Adesi, Giovanni: A dynamic model of expected bond returns: A
functional gradient descent approach. In: Computational Statistics & Data Analysis 51 (2006),
Nr. 4, S. 2267-2277.
Audrino, Francesco: Tree-structured multiple regimes in interest rates. In: Journal of Business &
Economic Statistics 24 (2006), Nr. 3, S. 338-353.
Audrino, Francesco ; Trojani, Fabio: Estimating and predicting multivariate volatility thresholds in
global stock markets. In: Journal of Applied Econometrics 21 (2006), S. 345-369.
Audrino, Francesco: The impact of general non-parametric volatility functions in multivariate
GARCH models. In: Computational Statistics & Data Analysis 50 (2006), S. 3032-3052.
Roger Baumann
Dr. Daniel Buncic
School Economics and Political Science
Position Nachwuchsdozent
Forschungsgebiet Fachbereich für Statistik; Financial Econometrics
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