Francesco Audrino : Citation Profile

Universität St. Gallen

11

H index

15

i10 index

483

Citations

RESEARCH PRODUCTION:

36

Articles

25

Papers

RESEARCH ACTIVITY:

   21 years (2001 - 2022). See details.
   Cites by year: 23
   Journals where Francesco Audrino has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 30 (5.85 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pau34
   Updated: 2025-03-08    RAS profile: 2023-10-17    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Ballinari, Daniele (2)

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

Is cited by:

Fengler, Matthias (13)

Medeiros, Marcelo (13)

Ruiz, Esther (12)

Okhrin, Ostap (10)

Lyócsa, Štefan (9)

Stentoft, Lars (8)

Zhang, Yaojie (8)

Voev, Valeri (7)

Hotta, Luiz (6)

Violante, Francesco (6)

Lee, Tae Hwy (5)

Cites to:

Bollerslev, Tim (60)

Diebold, Francis (47)

Hansen, Peter (45)

Lunde, Asger (40)

Andersen, Torben (32)

Engle, Robert (31)

Shephard, Neil (31)

Nason, James (25)

Ang, Andrew (24)

Medeiros, Marcelo (23)

Corsi, Fulvio (18)

Main data

Production by document typearticlepaper200120022003200420052006200720082009201020112012201320142015201620172018201920202021202202.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20012002200320042005200620072008200920102011201220132014201520162017201820192020202120220255075Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received20042005200620072008200920102011201220132014201520162017201820192020202120222023202420250255075Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2001200220032004200520062007200820092010201120122013201420152016201720182019202020212022050100150Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 11Most cited documents12345678910111213050100150Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503051015h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Francesco Audrino has published?

Journals with more than one article published# docs
Journal of Financial Econometrics4
Computational Statistics & Data Analysis4
Journal of Banking & Finance3
Journal of Applied Econometrics3
Journal of the Royal Statistical Society Series B2
Journal of Time Series Analysis2
Journal of Business & Economic Statistics2
Econometric Reviews2

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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

Full description at Econpapers || Download paper

2025High-dimensional censored MIDAS logistic regression for corporate survival forecasting. (2025). van Keilegom, Ingrid ; Striaukas, Jonas ; Beyhum, Jad ; Miao, Wei. In: Papers. RePEc:arx:papers:2502.09740.

Full description at Econpapers || Download paper

2024Information Aggregation with Asymmetric Asset Payoffs. (2024). Hellwig, Christian ; Tsyvinski, Aleh ; Albagli, Elias. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2715-2758.

Full description at Econpapers || Download paper

2024Nowcasting services trade for the G7 economies. (2024). Mourougane, Annabelle ; Gonzales, Frederic ; Jaax, Alexander. In: The World Economy. RePEc:bla:worlde:v:47:y:2024:i:4:p:1336-1386.

Full description at Econpapers || Download paper

2024The Transmission of Monetary Policy to the Cost of Hedging. (2024). Minger, Stephan ; Koeniger, Winfried ; Fengler, Matthias. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11556.

Full description at Econpapers || Download paper

2024Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Xu, Yang ; Zhang, Qichao ; Huang, Jiefei ; Song, Yuping. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019.

Full description at Econpapers || Download paper

2024Yield curve trading strategies exploiting sentiment data. (2024). Serwart, Jan ; Audrino, Francesco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001517.

Full description at Econpapers || Download paper

2024A new ordinal mixed-data sampling model with an application to corporate credit rating levels. (2024). Calabrese, Raffaella ; Crook, Jonathan ; Goldmann, Leonie. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1111-1126.

Full description at Econpapers || Download paper

2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

Full description at Econpapers || Download paper

2024Forecasting of clean energy market volatility: The role of oil and the technology sector. (2024). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001592.

Full description at Econpapers || Download paper

2024Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors. (2024). Zhang, Yaojie ; Wang, Qunwei. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002457.

Full description at Econpapers || Download paper

2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Cabrera, Gabriel ; Hansen, Erwin ; Diaz, Juan D. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

Full description at Econpapers || Download paper

2024The impact of macroeconomic news sentiment on interest rates. (2024). Offner, Eric A ; Audrino, Francesco. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002254.

Full description at Econpapers || Download paper

2024Improved estimation of the correlation matrix using reinforcement learning and text-based networks. (2024). Simaan, Majeed ; Ndiaye, Papa Momar ; Lu, Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005040.

Full description at Econpapers || Download paper

2024Spillover between investor sentiment and volatility: The role of social media. (2024). Indriawan, Ivan ; Fernandez-Perez, Adrian ; Yang, NI. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005751.

Full description at Econpapers || Download paper

2024Analyzing the green bond index: A novel quantile-based high-dimensional approach. (2024). Ren, Xiaohang ; Jiang, Wenting ; Tao, Lizhu. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s105752192400591x.

Full description at Econpapers || Download paper

2024Decrypting Metaverse crypto Market: A nonlinear analysis of investor sentiment. (2024). Gunay, Samet ; Muhammed, Shahnawaz ; Sraieb, Mohamed M. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s105752192400646x.

Full description at Econpapers || Download paper

2024Investor attention and anomalies: Evidence from the Chinese stock market. (2024). Wen, Danyan ; Zhang, Zihao ; Nie, Jing ; Cao, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924007075.

Full description at Econpapers || Download paper

2024Benefit volatility-targeting strategies in lifetime pension pools. (2024). Begin, Jean-Franois ; Sanders, Barbara. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:72-94.

Full description at Econpapers || Download paper

2024No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Zhou, Yinggang ; Lin, Juan ; Bei, Zeyun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561.

Full description at Econpapers || Download paper

2024Stock return predictability using economic narrative: Evidence from energy sectors. (2024). Ma, Tian ; Zhang, Huajing ; Li, Ganghui. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:35:y:2024:i:c:s2405851324000370.

Full description at Econpapers || Download paper

2024Forecasting downside and upside realized volatility: The role of asymmetric information. (2024). Maki, Daiki. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000069.

Full description at Econpapers || Download paper

2024The dynamic impact of network attention on natural resources prices in pre-and post-Russian-Ukrainian war. (2024). Tang, Miaomiao ; Luo, Ziyang ; Zhao, Peng ; Liu, Wenwen. In: Resources Policy. RePEc:eee:jrpoli:v:97:y:2024:i:c:s030142072400638x.

Full description at Econpapers || Download paper

2024Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective. (2024). Ma, Feng ; Liu, Jing ; Xu, Yanyan ; Chu, Jielei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:543-560.

Full description at Econpapers || Download paper

2024Are markets sentiment driving the price bubbles in the virtual?. (2024). Guesmi, Khaled ; Galariotis, Emilios ; ben Osman, Myriam ; Naoui, Kamel ; Hamdi, Haykel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:272-285.

Full description at Econpapers || Download paper

2024Asymmetric effect of trading volume on realized volatility. (2024). Maki, Daiki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003800.

Full description at Econpapers || Download paper

2024Forecasting US GDP growth rates in a rich environment of macroeconomic data. (2024). Tao, Ying ; Zeng, Qing ; Lu, Fei ; Bouri, Elie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004684.

Full description at Econpapers || Download paper

2024Industry volatility concentration and the predictability of aggregate stock market volatility. (2024). Zhang, Yaojie ; He, Mengxi ; Xing, LU ; Wen, Danyan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004805.

Full description at Econpapers || Download paper

2024Credit risk prediction based on loan profit: Evidence from Chinese SMEs. (2024). Pan, Xianyou ; Liang, Shuguang ; Pang, Meng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002817.

Full description at Econpapers || Download paper

2024Imported financial risk in global stock markets: Evidence from the interconnected network. (2024). Liu, KE ; Lu, Min ; Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

Full description at Econpapers || Download paper

2024Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index. (2024). Brzeszczyski, Janusz ; Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924002411.

Full description at Econpapers || Download paper

2025Integration of investor behavioral perspective and climate change in reinforcement learning for portfolio optimization. (2025). Jebabli, Ikram ; Bouyaddou, Youssef. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s027553192400432x.

Full description at Econpapers || Download paper

2024Investors’ attention and network spillover for commodity market forecasting. (2024). Mattera, Raffaele ; Ficcadenti, Valerio ; Cerqueti, Roy. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002222.

Full description at Econpapers || Download paper

2024Investor attention and consumer price index inflation rate: Evidence from the United States. (2024). Zhang, Yinpeng ; Zhou, Qingjie ; Zhu, Panpan. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03036-y.

Full description at Econpapers || Download paper

2024An explorative analysis of sentiment impact on S&P 500 components returns, volatility and downside risk. (2024). Patacca, Marco ; Fig-Talamanca, Gianna. In: Annals of Operations Research. RePEc:spr:annopr:v:342:y:2024:i:3:d:10.1007_s10479-022-05129-w.

Full description at Econpapers || Download paper

2025The Transmission of Monetary Policy to the Cost of Hedging. (2025). Minger, Stephan ; Koeniger, Winfried ; Fengler, Matthias. In: Economics Working Paper Series. RePEc:usg:econwp:2025:01.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024The transmission of monetary policy to the cost of hedging. (2024). Fengler, Matthias ; Minger, Stephan ; Koeniger, Winfried. In: CFS Working Paper Series. RePEc:zbw:cfswop:308803.

Full description at Econpapers || Download paper

Works by Francesco Audrino:

Year  ↓Title  ↓Type  ↓Cited  ↓
2013Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models In: Papers.
[Full Text][Citation analysis]		paper3
2013Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models.(2013) In: Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2006Tree-Structured Multiple Regimes in Interest Rates In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article5
2011A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article23
2011A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		article
2005A general multivariate threshold GARCH model with dynamic conditional correlations.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2007A general multivariate threshold GARCH model with dynamic conditional correlations.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2001Tree‐structured generalized autoregressive conditional heteroscedastic models In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article6
2009Splines for financial volatility In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article15
2007Splines for Financial Volatility.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2005Local Likelihood for non‐parametric ARCH(1) models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2018Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M€ Estimators In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
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.
[Full Text][Citation analysis]		article1
2019Flexible HAR model for realized volatility In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article10
2019Predicting U.S. Bank Failures with MIDAS Logit Models In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article9
2006The impact of general non-parametric volatility functions in multivariate GARCH models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article12
2006A dynamic model of expected bond returns: A functional gradient descent approach In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article2
2010Modeling tick-by-tick realized correlations In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article26
2008Modeling Tick-by-Tick Realized Correlations.(2008) In: University of St. Gallen Department of Economics working paper series 2008.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2014Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article9
2011Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks.(2011) In: Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2022When does attention matter? The effect of investor attention on stock market volatility around news releases In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article6
2020The impact of sentiment and attention measures on stock market volatility In: International Journal of Forecasting.
[Full Text][Citation analysis]		article99
2019Sentiment spillover effects for US and European companies In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article26
2005Functional gradient descent for financial time series with an application to the measurement of market risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2015Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2013Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data.(2013) In: Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2014Monetary policy regimes: Implications for the yield curve and bond pricing In: Journal of Financial Economics.
[Full Text][Citation analysis]		article4
2016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect In: Econometrics.
[Full Text][Citation analysis]		article39
2011Volatility Forecasting: Downside Risk, Jumps and Leverage Effect.(2011) In: Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2022The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section In: Forecasting.
[Full Text][Citation analysis]		article0
2006Estimating and predicting multivariate volatility thresholds in global stock markets In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article6
2006Estimating and predicting multivariate volatility thresholds in global stock markets.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2006Average conditional correlation and tree structures for multivariate GARCH models In: Journal of Forecasting.
[Full Text][Citation analysis]		article3
2007A Forecasting Model for Stock Market Diversity In: Annals of Finance.
[Full Text][Citation analysis]		article3
2012What Drives Short Rate Dynamics? A Functional Gradient Descent Approach In: Computational Economics.
[Full Text][Citation analysis]		article2
2012Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article11
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2021An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article3
2005The Stability of Factor Models of Interest Rates In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article6
Beta Regimes for the Yield Curve In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article10
Beta Regimes for the Yield Curve.() In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2010Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging In: Textos para discussão.
[Full Text][Citation analysis]		paper10
2011Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging.(2011) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 10		article
2005Accurate Yield Curve Scenarios Generation using Functional Gradient Descent In: Computing in Economics and Finance 2005.
[Full Text][Citation analysis]		paper1
2005A multivariate FGD technique to improve VaR computation in equity markets In: Computational Management Science.
[Full Text][Citation analysis]		article3
2016Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators In: Econometric Reviews.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2016Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics In: Econometric Reviews.
[Full Text][Citation analysis]		article46
2012Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics.(2012) In: Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46		paper
2007Realized Correlation Tick-by-Tick In: University of St. Gallen Department of Economics working paper series 2007.
[Full Text][Citation analysis]		paper11
2007Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent In: University of St. Gallen Department of Economics working paper series 2007.
[Full Text][Citation analysis]		paper4
2007Forecasting Implied Volatility Surfaces In: University of St. Gallen Department of Economics working paper series 2007.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper0
2009Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach In: University of St. Gallen Department of Economics working paper series 2009.
[Full Text][Citation analysis]		paper0
2009Option trading strategies based on semi-parametric implied volatility surface prediction In: University of St. Gallen Department of Economics working paper series 2009.
[Full Text][Citation analysis]		paper0
2012Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation In: Economics Working Paper Series.
[Full Text][Citation analysis]		paper33
2015Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation.(2015) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2012Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines In: Economics Working Paper Series.
[Full Text][Citation analysis]		paper2
2014An Empirical Analysis of the Ross Recovery Theorem In: Economics Working Paper Series.
[Full Text][Citation analysis]		paper13
2015Testing the lag structure of assets’ realized volatility dynamics In: Economics Working Paper Series.
[Full Text][Citation analysis]		paper6

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team