Francesco Audrino : Citation Profile


Are you Francesco Audrino?

Universität St. Gallen

8

H index

8

i10 index

185

Citations

RESEARCH PRODUCTION:

32

Articles

25

Papers

RESEARCH ACTIVITY:

   18 years (2001 - 2019). See details.
   Cites by year: 10
   Journals where Francesco Audrino has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 28 (13.15 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pau34
   Updated: 2020-05-16    RAS profile: 2020-04-08    
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Relations with other researchers


Works with:

Camponovo, Lorenzo (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Francesco Audrino.

Is cited by:

Medeiros, Marcelo (11)

Ruiz, Esther (11)

Fengler, Matthias (10)

Stentoft, Lars (8)

Violante, Francesco (6)

Hotta, Luiz (6)

Lee, Tae Hwy (5)

Corsi, Fulvio (4)

Wohlrabe, Klaus (4)

Okhrin, Ostap (4)

Voev, Valeri (4)

Cites to:

Bollerslev, Tim (47)

Diebold, Francis (38)

Hansen, Peter (37)

Lunde, Asger (33)

Engle, Robert (25)

Andersen, Torben (24)

Shephard, Neil (23)

Nason, James (21)

Medeiros, Marcelo (20)

Barndorff-Nielsen, Ole (20)

Ang, Andrew (17)

Main data


Where Francesco Audrino has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis4
Journal of Banking & Finance3
Journal of Financial Econometrics3
Journal of Applied Econometrics2
Journal of the Royal Statistical Society Series B2
Econometric Reviews2
Journal of Time Series Analysis2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Economics Working Paper Series / University of St. Gallen, School of Economics and Political Science9
University of St. Gallen Department of Economics working paper series 2007 / Department of Economics, University of St. Gallen5
University of St. Gallen Department of Economics working paper series 2008 / Department of Economics, University of St. Gallen3
University of St. Gallen Department of Economics working paper series 2009 / Department of Economics, University of St. Gallen2

Recent works citing Francesco Audrino (2020 and 2019)


YearTitle of citing document
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Gerlach, Richard H ; Ye, Wilson . In: Papers. RePEc:arx:papers:1708.07587.

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe . In: Papers. RePEc:arx:papers:1803.04894.

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2020Unveiling the relation between herding and liquidity with trader lead-lag networks. (2019). Tantari, Daniele ; Lillo, Fabrizio ; Campajola, Carlo. In: Papers. RePEc:arx:papers:1909.10807.

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2019A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics. (2019). Lillo, Fabrizio ; Bormetti, Giacomo ; Vassallo, Danilo. In: Papers. RePEc:arx:papers:1910.01407.

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2019Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2019Forecasting oil price volatility: Forecast combination versus shrinkage method. (2019). Wei, YU ; Zhang, Yaojie ; Jin, Daxiang. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:423-433.

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2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

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2019Comparison of range-based volatility estimators against integrated volatility in European emerging markets. (2019). Sori, Petar ; Matkovi, Mario ; Arneri, Josip. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:118-124.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2019A novel cluster HAR-type model for forecasting realized volatility. (2019). Li, Zhenxiong ; Izzeldin, Marwan ; Yao, Xingzhi. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1318-1331.

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2019A generic framework for monetary performance attribution. (2019). Hagenbjork, Johan ; Blomvall, Jorgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:121-133.

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2019Stock vs. Bond yields and demographic fluctuations. (2019). Morin, Annaig ; Gozluklu, Arie . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302572.

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2019Generalized recovery. (2019). Pedersen, Lasse Heje ; Lando, David ; Jensen, Christian Skov. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:154-174.

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2019The heterogeneous impact of liquidity on volatility in Chinese stock index futures market. (2019). Xu, Yanyan ; Qiao, Gaoxiu ; Ma, Feng ; Huang, Dengshi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:73-85.

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2019Forecast Bitcoin Volatility with Least Squares Model Averaging. (2019). Xie, Tian. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:40-:d:267321.

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2019Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2709.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018.

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2019Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value. (2019). Liu, LI ; Wei, YU ; Zhang, Yaojie. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:9:p:1425-1438.

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2020Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. (2020). Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200004.

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2019Multivariate realized volatility forecasts of agricultural commodity futures. (2019). Chen, Langnan ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1565-1586.

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Works by Francesco Audrino:


YearTitleTypeCited
2013Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models In: Papers.
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2013Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models.(2013) In: Economics Working Paper Series.
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2006Tree-Structured Multiple Regimes in Interest Rates In: Journal of Business & Economic Statistics.
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article3
2011A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations In: Journal of Business & Economic Statistics.
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article16
2011A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations.(2011) In: Journal of Business & Economic Statistics.
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article
2005A general multivariate threshold GARCH model with dynamic conditional correlations.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
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2007A general multivariate threshold GARCH model with dynamic conditional correlations.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
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paper
2001Tree‐structured generalized autoregressive conditional heteroscedastic models In: Journal of the Royal Statistical Society Series B.
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article2
2009Splines for financial volatility In: Journal of the Royal Statistical Society Series B.
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article12
2007Splines for Financial Volatility.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
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paper
2005Local Likelihood for non-parametric ARCH(1) models In: Journal of Time Series Analysis.
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article1
2018Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators In: Journal of Time Series Analysis.
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article0
2018Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs In: Journal of Quantitative Analysis in Sports.
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article0
2019Flexible HAR model for realized volatility In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2019Predicting U.S. Bank Failures with MIDAS Logit Models In: Journal of Financial and Quantitative Analysis.
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article0
2006The impact of general non-parametric volatility functions in multivariate GARCH models In: Computational Statistics & Data Analysis.
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article12
2006A dynamic model of expected bond returns: A functional gradient descent approach In: Computational Statistics & Data Analysis.
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article2
2010Modeling tick-by-tick realized correlations In: Computational Statistics & Data Analysis.
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article17
2008Modeling Tick-by-Tick Realized Correlations.(2008) In: University of St. Gallen Department of Economics working paper series 2008.
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2014Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks In: Computational Statistics & Data Analysis.
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2011Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks.(2011) In: Economics Working Paper Series.
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2020The impact of sentiment and attention measures on stock market volatility In: International Journal of Forecasting.
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article0
2019Sentiment spillover effects for US and European companies In: Journal of Banking & Finance.
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article1
2005Functional gradient descent for financial time series with an application to the measurement of market risk In: Journal of Banking & Finance.
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article7
2015Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data In: Journal of Banking & Finance.
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article0
2013Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data.(2013) In: Economics Working Paper Series.
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2014Monetary policy regimes: Implications for the yield curve and bond pricing In: Journal of Financial Economics.
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article2
2016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect In: Econometrics.
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2011Volatility Forecasting: Downside Risk, Jumps and Leverage Effect.(2011) In: Economics Working Paper Series.
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2006Estimating and predicting multivariate volatility thresholds in global stock markets In: Journal of Applied Econometrics.
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article6
2006Average conditional correlation and tree structures for multivariate GARCH models In: Journal of Forecasting.
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article3
2007A Forecasting Model for Stock Market Diversity In: Annals of Finance.
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article1
2012What Drives Short Rate Dynamics? A Functional Gradient Descent Approach In: Computational Economics.
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article1
2012Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects In: Journal of Financial Econometrics.
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2008Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects.(2008) In: University of St. Gallen Department of Economics working paper series 2008.
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2005The Stability of Factor Models of Interest Rates In: Journal of Financial Econometrics.
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Beta Regimes for the Yield Curve In: Journal of Financial Econometrics.
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article2
Beta Regimes for the Yield Curve.() In: IEW - Working Papers.
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2010Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging In: Textos para discussão.
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2011Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging.(2011) In: Journal of Applied Econometrics.
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2005Accurate Yield Curve Scenarios Generation using Functional Gradient Descent In: Computing in Economics and Finance 2005.
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2005A multivariate FGD technique to improve VaR computation in equity markets In: Computational Management Science.
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2016Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators In: Econometric Reviews.
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2010Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators.(2010) In: University of St. Gallen Department of Economics working paper series 2010.
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2016Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics In: Econometric Reviews.
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2012Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics.(2012) In: Economics Working Paper Series.
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2007Realized Correlation Tick-by-Tick In: University of St. Gallen Department of Economics working paper series 2007.
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2007Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent In: University of St. Gallen Department of Economics working paper series 2007.
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2007Forecasting Implied Volatility Surfaces In: University of St. Gallen Department of Economics working paper series 2007.
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2008Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process In: University of St. Gallen Department of Economics working paper series 2008.
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2009Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach In: University of St. Gallen Department of Economics working paper series 2009.
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2009Option trading strategies based on semi-parametric implied volatility surface prediction In: University of St. Gallen Department of Economics working paper series 2009.
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2012Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation In: Economics Working Paper Series.
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2015Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation.(2015) In: Journal of Applied Econometrics.
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2012Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines In: Economics Working Paper Series.
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2014An Empirical Analysis of the Ross Recovery Theorem In: Economics Working Paper Series.
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2015Testing the lag structure of assets’ realized volatility dynamics In: Economics Working Paper Series.
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