A multivariate FGD technique to improve VaR computation in equity markets. - Francesco Audrino; Giovanni Barone-Adesi (Comput. Manag. Sci., 2005)

The impact of general non-parametric volatility functions in multivariate GARCH models. - Francesco Audrino (Comput. Stat. Data Anal., 2006)

A dynamic model of expected bond returns: A functional gradient descent approach. - Francesco Audrino; Giovanni Barone-Adesi (Comput. Stat. Data Anal., 2006)

Modeling tick-by-tick realized correlations. - Francesco Audrino; Fulvio Corsi (Comput. Stat. Data Anal., 2010)

Semi-parametric forecasts of the implied volatility surface using regression trees. - Francesco Audrino; Dominik Colangelo (Stat. Comput., 2010)

Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks. - Francesco Audrino (Comput. Stat. Data Anal., 2014)