anyway i got this info off answers.com
does not state that he did record the chopin etudes but is proof that he did record what he performed
Gramophone recordings
Many of Rachmaninoff's recordings are acknowledged as classics. Particularly renowned are his renditions of Schumann's Carnaval and Chopin's Funeral March Sonata, which many consider the finest performance of that work, along with many shorter pieces. He recorded all four of his piano concertos with the Philadelphia Orchestra, including two versions of the second concerto with Leopold Stokowski conducting, and a world premiere recording of the Rhapsody on a Theme of Paganini, soon after the first performance (1934) with the Philadelphians under Stokowski. The first, third, and fourth concertos were recorded with Eugene Ormandy.
Rachmaninoff wanted to record several other major piano works, including Beethoven's Waldstein Sonata, Liszt's Sonata in B minor and his own Symphonic Dances in a two-piano collaboration with Vladimir Horowitz, but RCA turned him down. He also wanted to record his second symphony.
Rachmaninoff also made three greatly admired recordings conducting the Philadelphia Orchestra in his own Third Symphony, his symphonic poem Isle of the Dead, and his orchestration of Vocalise.
His final recordings were made for RCA Victor in February 1942; a Musicians Union recording ban prevented him from making further recordings before his death the following year.
Whenever Rachmaninoff played in a concert that was broadcast, he specifically requested that one of his recordings be played instead by the station or network. However, at least one private recording of him playing in public has survived and was included by RCA Victor in its boxed set of his complete recordings (1919-42), released in 1973 on LP and later reissued on CD.[5]
For many years Rachmaninoff's lengthy second symphony was played in concert or recorded in abridged versions. The first recording of the Second Symphony, abridged, was made by the Cleveland Orchestra with Nikolai Sokoloff conducting in 1928. Unabridged performances became more common in later years, spurred by recordings including one by Eugene Ormandy in the composer's centenary year of 1973.
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