Francesco Audrino : Citation Profile

Are you Francesco Audrino?

Universität St. Gallen

11

H index

14

i10 index

425

Citations

RESEARCH PRODUCTION:

32

Articles

25

Papers

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 25
   Journals where Francesco Audrino has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 28 (6.18 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pau34
   Updated: 2024-12-03    RAS profile: 2023-10-17    
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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:

Medeiros, Marcelo (13)

Ruiz, Esther (12)

Fengler, Matthias (12)

Okhrin, Ostap (10)

Lyócsa, Štefan (9)

Stentoft, Lars (8)

Zhang, Yaojie (7)

Voev, Valeri (7)

Violante, Francesco (6)

Hotta, Luiz (6)

Füss, Roland (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

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 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 (2024 and 2023)

YearTitle of citing document
2023Denise: Deep Learning based Robust PCA for Positive Semidefinite Matrices. (2020). Teichmann, Josef ; Krach, Florian ; Herrera, Calypso . In: Papers. RePEc:arx:papers:2004.13612.

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

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2023Optimal Cross-Correlation Estimates from Asynchronous Tick-by-Tick Trading Data. (2023). Press, William H. In: Papers. RePEc:arx:papers:2303.16153.

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2023Option 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.

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2023Portfolio Optimization: A Comparative Study. (2023). Dasgupta, Subhasis ; Sen, Jaydip. In: Papers. RePEc:arx:papers:2307.05048.

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2023To 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.

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2023Stock 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.

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2023Machine 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.

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2023Augmenting 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.

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2023Aggregate 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.

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2023Intentional 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.

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2023The relative importance of overnight sentiment versus trading-hour sentiment in volatility forecasting. (2023). Qiu, Jianying ; Wan, Xinmin ; Chu, Xiaojun. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000400.

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2023Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market. (2023). Garrett, Ian ; Liu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s026499932300295x.

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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.

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2023Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects. (2023). Koopman, Siem Jan ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002165.

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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.

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2023Forecasting 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.

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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.

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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.

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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.

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2023Have 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.

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2023A 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.

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2023Effect of Russia–Ukraine war sentiment on blockchain and FinTech stocks. (2023). Tiwari, Aviral ; Adeabah, David ; Abakah, Emmanuel ; Abdullah, Mohammad ; Aikins, Emmanuel Joel. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004647.

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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.

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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.

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2023The US banking crisis in 2023: Intraday attention and price variation of banks at risk. (2023). Halouskova, Martina ; Lyocsa, Tefan ; Haugom, Erik. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005810.

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2023Consumer attention and company performance: Evidence from luxury companies. (2023). Lysebo, Caroline ; Hoydal, Hannah ; Cheraghali, Hamid ; Molnar, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006529.

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2023The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall: a Complete Realized Exponential GARCH-X approach. (2023). Naimoli, Antonio. In: International Economics. RePEc:eee:inteco:v:176:y:2023:i:c:s2110701723000719.

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2023Discovering 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.

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2023Global financial stress index and long-term volatility forecast for international stock markets. (2023). Huynh, Luu Duc Toan ; Luo, Qin ; Liang, Chao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000938.

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2023Aggregate insider trading and stock market volatility in the UK. (2023). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kyriacou, Kyriacos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001294.

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2023Time-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.

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2023Improving 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.

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2023Stock market volatility predictability in a data-rich world: A new insight. (2023). Ma, Yuanhui ; Wahab, M. I. M., ; Wang, Jiqian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1804-1819.

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2023The 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.

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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.

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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.

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2023Chinese 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.

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2023Attention-driven reaction to extreme earnings surprises. (2023). Kausel, Edgar ; Batista, Julian A ; Reyes, Tomas ; Martinez, Diego ; Chacon, Alvaro. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:230-248.

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2023Stock 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.

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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.

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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.

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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.

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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.

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2023Contagion 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.

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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.

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2023Macroeconomic Forecasting with the Use of News Data. (2023). Mikhaylov, Dmitry. In: Working Papers. RePEc:rnp:wpaper:w20220250.

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2023Spillover 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.

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2023Approximating 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.

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2023Impact 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.

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2023Copula 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.

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2023Review 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.

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2023Sentiment 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.

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2023Forecasting 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.

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2023Are 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.

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2023Forecasting stock return volatility: The role of shrinkage approaches in a data?rich environment. (2022). Yang, MI ; Li, Tingyu ; Dai, Zhifeng. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:5:p:980-996.

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2023A 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.

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2023Trading 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.

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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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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]		article4
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.
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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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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.
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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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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]		article8
2006The impact of general non-parametric volatility functions in multivariate GARCH models In: Computational Statistics & Data Analysis.
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2006A dynamic model of expected bond returns: A functional gradient descent approach In: Computational Statistics & Data Analysis.
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2010Modeling tick-by-tick realized correlations In: Computational Statistics & Data Analysis.
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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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2022When does attention matter? The effect of investor attention on stock market volatility around news releases In: International Review of Financial Analysis.
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2020The impact of sentiment and attention measures on stock market volatility In: International Journal of Forecasting.
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2019Sentiment spillover effects for US and European companies In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article25
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.
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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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2016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect In: Econometrics.
[Full Text][Citation analysis]		article37
2011Volatility Forecasting: Downside Risk, Jumps and Leverage Effect.(2011) In: Economics Working Paper Series.
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2022The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section In: Forecasting.
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2006Estimating and predicting multivariate volatility thresholds in global stock markets In: Journal of Applied Econometrics.
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2006Estimating and predicting multivariate volatility thresholds in global stock markets.(2006) In: Journal of Applied Econometrics.
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2006Average conditional correlation and tree structures for multivariate GARCH models In: Journal of Forecasting.
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2007A Forecasting Model for Stock Market Diversity In: Annals of Finance.
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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.
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2021An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* In: Journal of Financial Econometrics.
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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.
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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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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.
[Full Text][Citation analysis]		article3
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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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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