11
H index
13
i10 index
401
Citations
Francesco Audrino : Citation Profile
Universität St. Gallen | RESEARCH PRODUCTION: 36 Articles 25 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (2001 - 2022). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Francesco Audrino. | Is cited by:
| Cites to:
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Main data
Where Francesco Audrino has published?
Recent works citing Francesco Audrino (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Denise: Deep Learning based Robust PCA for Positive Semidefinite Matrices. (2020). Teichmann, Josef ; Krach, Florian ; Herrera, Calypso . In: Papers. RePEc:arx:papers:2004.13612. Full description at Econpapers || Download paper |
| 2023 | Hierarchical 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 |
| 2023 | Optimal Cross-Correlation Estimates from Asynchronous Tick-by-Tick Trading Data. (2023). Press, William H. In: Papers. RePEc:arx:papers:2303.16153. Full description at Econpapers || Download paper |
| 2023 | Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014. Full description at Econpapers || Download paper |
| 2023 | Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991. Full description at Econpapers || Download paper |
| 2023 | Portfolio Optimization: A Comparative Study. (2023). Dasgupta, Subhasis ; Sen, Jaydip. In: Papers. RePEc:arx:papers:2307.05048. Full description at Econpapers || Download paper |
| 2023 | The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913. Full description at Econpapers || Download paper |
| 2023 | To the Moon: Analyzing Collective Trading Events on the Wings of Sentiment Analysis. (2023). Raabe, Jun-Patrick ; Leible, Stephan ; Lohden, Thomas ; Matthies, Tim. In: Papers. RePEc:arx:papers:2308.09968. Full description at Econpapers || Download paper |
| 2023 | Stock Volatility Prediction Based on Transformer Model Using Mixed-Frequency Data. (2023). Liu, Yujiang ; Zhang, Xulong ; Leng, Wan ; Zhou, Lichun ; Tang, Lihua ; Jiang, Guilin ; Gui, Zhaozhong. In: Papers. RePEc:arx:papers:2309.16196. Full description at Econpapers || Download paper |
| 2023 | Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111. Full description at Econpapers || Download paper |
| 2023 | Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8. Full description at Econpapers || Download paper |
| 2023 | Aggregate Insider Trading and Stock Market Volatility in the UK. (2023). Spagnolo, Nicola ; Kyriacou, Kyriacos ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10511. Full description at Econpapers || Download paper |
| 2023 | Intentional and spurious herding behavior: A sentiment driven analysis. (2023). Pochea, Maria Miruna ; Filip, Angela Maria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000242. Full description at Econpapers || Download paper |
| 2023 | Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271. Full description at Econpapers || Download paper |
| 2023 | Have the predictability of oil changed during the COVID-19 pandemic: Evidence from international stock markets. (2023). Wang, Jiqian ; Huang, Yisu ; Ding, Hui. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001369. Full description at Econpapers || Download paper |
| 2023 | Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model. (2023). Li, Lihong ; Zhang, LI. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002247. Full description at Econpapers || Download paper |
| 2023 | A two-stage credit scoring model based on random forest: Evidence from Chinese small firms. (2023). Ballester, Laura ; Shen, Long ; Zhou, Ying. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002715. Full description at Econpapers || Download paper |
| 2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper |
| 2023 | Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840. Full description at Econpapers || Download paper |
| 2023 | Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237. Full description at Econpapers || Download paper |
| 2023 | The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097. Full description at Econpapers || Download paper |
| 2023 | Chinese crude oil futures volatility and sustainability: An uncertainty indices perspective. (2023). Zhao, Chenchen ; Huang, Dengshi ; Xu, Weiju. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006705. Full description at Econpapers || Download paper |
| 2023 | Stock market volatility prediction: Evidence from a new bagging model. (2023). Huang, Dengshi ; Xu, Weiju ; Bu, Jinfeng ; Luo, Qin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:445-456. Full description at Econpapers || Download paper |
| 2023 | Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention. (2023). Zhang, Yinpeng ; Zhu, Panpan ; Zhou, Qingjie. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:2:p:929-:d:1035420. Full description at Econpapers || Download paper |
| 2023 | Macroeconomic Forecasting with the Use of News Data. (2023). Mikhaylov, Dmitry. In: Working Papers. RePEc:rnp:wpaper:w20220250. Full description at Econpapers || Download paper |
| 2023 | Spillover effects from news to travel and leisure stocks during the COVID-19 pandemic: Evidence from the time and frequency domains. (2023). Yang, Cai ; Gao, Wang ; Zhang, Hongwei ; Wang, Ying. In: Tourism Economics. RePEc:sae:toueco:v:29:y:2023:i:2:p:460-487. Full description at Econpapers || Download paper |
| 2023 | Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility. (2023). Cho, Dooyeon ; Rho, Seunghwa ; Baillie, Richard T. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02357-8. Full description at Econpapers || Download paper |
| 2023 | Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange. (2023). Kadioglu, Eyup ; Frommel, Michael. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00500-7. Full description at Econpapers || Download paper |
| 2023 | Copula Estimation for Nonsynchronous Financial Data. (2023). Sen, Rituparna ; Chakrabarti, Arnab. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00276-3. Full description at Econpapers || Download paper |
| 2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers || Download paper |
| 2023 | Sentiment indices and stock returns: Evidence from China. (2023). Liang, Chao ; Chen, Zhonglu ; Wang, Jianqiong ; Xu, Yongan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1063-1080. Full description at Econpapers || Download paper |
| 2023 | Forecasting Chinas stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?. (2023). Xu, Yongan ; Liang, Chao ; Chen, Zhonglu. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3689-3699. Full description at Econpapers || Download paper |
| 2023 | Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries. (2023). Werner, Richard A ; Lee, Kangsoek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3960-3975. Full description at Econpapers || Download paper |
| 2023 | A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information. (2023). Li, Ziyang ; Chevallier, Julien ; M. I. M. Wahab, ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:60-75. Full description at Econpapers || Download paper |
| 2023 | Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100. Full description at Econpapers || Download paper |
Works by Francesco Audrino:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Oracle 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 | |
| 2006 | Tree-Structured Multiple Regimes in Interest Rates In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 3 |
| 2011 | A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 20 |
| 2011 | A 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: 20 | article | |
| 2005 | A 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: 20 | paper | |
| 2007 | A 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: 20 | paper | |
| 2001 | Tree?structured generalized autoregressive conditional heteroscedastic models In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 5 |
| 2009 | Splines for financial volatility In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 15 |
| 2007 | Splines 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 | |
| 2005 | Local Likelihood for non?parametric ARCH(1) models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 2018 | Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 2018 | Do 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] | article | 1 |
| 2019 | Flexible HAR model for realized volatility In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 9 |
| 2019 | Predicting U.S. Bank Failures with MIDAS Logit Models In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 5 |
| 2006 | The impact of general non-parametric volatility functions in multivariate GARCH models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 12 |
| 2006 | A dynamic model of expected bond returns: A functional gradient descent approach In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 2 |
| 2010 | Modeling tick-by-tick realized correlations In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 23 |
| 2008 | Modeling 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: 23 | paper | |
| 2014 | Forecasting 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] | article | 9 |
| 2011 | Forecasting 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 | |
| 2022 | When 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] | article | 0 |
| 2020 | The impact of sentiment and attention measures on stock market volatility In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 68 |
| 2019 | Sentiment spillover effects for US and European companies In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 20 |
| 2005 | Functional gradient descent for financial time series with an application to the measurement of market risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
| 2015 | Are 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] | article | 3 |
| 2013 | Are 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: 3 | paper | |
| 2014 | Monetary policy regimes: Implications for the yield curve and bond pricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 3 |
| 2016 | Volatility Forecasting: Downside Risk, Jumps and Leverage Effect In: Econometrics. [Full Text][Citation analysis] | article | 32 |
| 2011 | Volatility Forecasting: Downside Risk, Jumps and Leverage Effect.(2011) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2022 | The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section In: Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2006 | Estimating and predicting multivariate volatility thresholds in global stock markets In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2006 | Estimating 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 | |
| 2006 | Average conditional correlation and tree structures for multivariate GARCH models In: Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
| 2007 | A Forecasting Model for Stock Market Diversity In: Annals of Finance. [Full Text][Citation analysis] | article | 1 |
| 2012 | What Drives Short Rate Dynamics? A Functional Gradient Descent Approach In: Computational Economics. [Full Text][Citation analysis] | article | 2 |
| 2012 | Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 11 |
| 2008 | Realized 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 | |
| 2021 | An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2005 | The Stability of Factor Models of Interest Rates In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 6 |
| Beta Regimes for the Yield Curve In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 10 | |
| Beta Regimes for the Yield Curve.() In: IEW - Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | ||
| 2010 | Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging In: Textos para discussão. [Full Text][Citation analysis] | paper | 9 |
| 2011 | Modeling 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: 9 | article | |
| 2005 | Accurate Yield Curve Scenarios Generation using Functional Gradient Descent In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] | paper | 1 |
| 2005 | A multivariate FGD technique to improve VaR computation in equity markets In: Computational Management Science. [Full Text][Citation analysis] | article | 3 |
| 2016 | Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2010 | Bond 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 | |
| 2016 | Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics In: Econometric Reviews. [Full Text][Citation analysis] | article | 39 |
| 2012 | Lassoing 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: 39 | paper | |
| 2007 | Realized Correlation Tick-by-Tick In: University of St. Gallen Department of Economics working paper series 2007. [Full Text][Citation analysis] | paper | 11 |
| 2007 | Accurate 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] | paper | 4 |
| 2007 | Forecasting Implied Volatility Surfaces In: University of St. Gallen Department of Economics working paper series 2007. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Smooth 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] | paper | 0 |
| 2009 | Yield 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] | paper | 0 |
| 2009 | Option 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] | paper | 0 |
| 2012 | Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 32 |
| 2015 | Missing 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: 32 | article | |
| 2012 | Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2014 | An Empirical Analysis of the Ross Recovery Theorem In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 13 |
| 2015 | Testing the lag structure of assets’ realized volatility dynamics In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 6 |
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