Francesco Audrino : Citation Profile

Universität St. Gallen

12

H index

16

i10 index

586

Citations

RESEARCH PRODUCTION:

42

Articles

30

Papers

RESEARCH ACTIVITY:

   23 years (2001 - 2024). See details.
   Cites by year: 25
   Journals where Francesco Audrino has often published
   Relations with other researchers
   Recent citing documents: 88.    Total self citations: 34 (5.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pau34
   Updated: 2026-08-29    RAS profile: 2026-08-10    
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Relations with other researchers

Works with:

Stalder, Simon (2)

Maly, Jessica (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 (15)

Medeiros, Marcelo (13)

Lyócsa, Štefan (12)

Ruiz, Esther (12)

Okhrin, Ostap (10)

Zhang, Yaojie (9)

Stentoft, Lars (8)

Corsi, Fulvio (7)

Voev, Valeri (7)

Hotta, Luiz (6)

Violante, Francesco (6)

Cites to:

Bollerslev, Tim (64)

Diebold, Francis (54)

Hansen, Peter (48)

Lunde, Asger (44)

Andersen, Torben (34)

Shephard, Neil (34)

Engle, Robert (31)

Nason, James (28)

Ang, Andrew (25)

Medeiros, Marcelo (24)

Rudebusch, Glenn (21)

Main data

Where Francesco Audrino has published?

Journals with more than one article published# docs
Journal of Financial Econometrics5
Computational Statistics & Data Analysis4
Journal of Banking & Finance3
Journal of Applied Econometrics3
International Review of Financial Analysis2
Journal of Time Series Analysis2
Journal of the Royal Statistical Society Series B2
Econometric Reviews2
International Journal of Forecasting2
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
Swiss Finance Institute Research Paper Series / Swiss Finance Institute3
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
Papers / arXiv.org2

Recent works citing Francesco Audrino (2026 and 2025)

YearTitle of citing document
2025The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Papageorgiou, Ioannis ; Kontoyiannis, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2026Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2026When AI Meets Finance (StockAgent): Large Language Model-based Stock Trading in Simulated Real-world Environments. (2024). Hua, Wenyue ; Li, Sujian ; Zhu, Suiyuan ; Jin, Mingyu ; Du, Mengnan ; Zhang, Zhongmou ; Shu, Dong ; Wang, Zhenting ; Liu, Xinyi. In: Papers. RePEc:arx:papers:2407.18957.

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2025Macroscopic properties of equity markets: stylized facts and portfolio performance. (2025). Wong, Ting-Kam Leonard ; Campbell, Steven ; Song, Qien. In: Papers. RePEc:arx:papers:2409.10859.

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2025Analyst Reports and Stock Performance: Evidence from the Chinese Market. (2025). Liang, Jiayou ; Liu, Rui ; Hu, Yujia ; Chen, Haolong. In: Papers. RePEc:arx:papers:2411.08726.

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2026High-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.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025Modeling Regime Structure and Informational Drivers of Stock Market Volatility via the Financial Chaos Index. (2025). Ataei, Masoud. In: Papers. RePEc:arx:papers:2504.18958.

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2025Foundation Time-Series AI Model for Realized Volatility Forecasting. (2025). Magris, Martin ; Pasricha, Puneet ; Goel, Anubha ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:2505.11163.

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2025Fusing Narrative Semantics for Financial Volatility Forecasting. (2025). Zohren, Stefan ; Vryonides, Chris ; Kaiser, Marcus ; Hwang, Yoontae ; Kong, Yaxuan ; Oomen, Roel. In: Papers. RePEc:arx:papers:2510.20699.

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2026Two-Step Regularized HARX to Measure Volatility Spillovers in Multi-Dimensional Systems. (2026). Mallory, Mindy L. In: Papers. RePEc:arx:papers:2601.03146.

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2026A machine learning approach to volatility forecasting. (2026). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13014.

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2026Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2026). Podolskij, Mark ; Kinnebrock, Silja ; Christensen, Kim. In: Papers. RePEc:arx:papers:2602.19645.

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2026Beyond Polarity: Multi-Dimensional LLM Sentiment Signals for WTI Crude Oil Futures Return Prediction. (2026). Wang, Yiqing ; Geng, Kerui ; Liu, Dou ; Ma, Ding ; Dai, Dehao. In: Papers. RePEc:arx:papers:2603.11408.

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2026Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks. (2026). Li, Yuhua ; Chen, Jing ; Liu, Anqi ; Wu, Fan. In: Papers. RePEc:arx:papers:2604.26811.

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2026Sparse Tree-Based Aggregation for Time Series Regressions. (2026). Wilms, Ines ; Smeekes, Stephan ; Corillon, Marie. In: Papers. RePEc:arx:papers:2606.03665.

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2025Parsing the pulse: decomposing macroeconomic sentiment with LLMs. (2025). Smets, Frank ; Rungcharoenkitkul, Phurichai ; Kwon, Byeungchun ; Park, Taejin. In: BIS Working Papers. RePEc:bis:biswps:1294.

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2026Measuring geoeconomic tension: a large-language-model approach for the euro area. (2026). Durrani, Agha ; Ioannou, Demosthenes ; Prioriello, Raffaele. In: Working Paper Series. RePEc:ecb:ecbwps:20263250.

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2025Proximity-powered attention: Exploring spatial spillover in investor attention. (2025). Posch, Peter N ; Lehmann, Kevin Rene. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:48:y:2025:i:c:s2214635025000802.

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2026Tuning into the news: Sentiment-driven high-frequency movements in cryptocurrency markets. (2026). Huynh, Nhan. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:50:y:2026:i:c:s2214635026000456.

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2025Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?. (2025). Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000720.

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2025Investor sentiment spillover from air pollution: Cross-industry influences on stock markets. (2025). Dong, Zhengwen ; He, Xubiao ; Yang, Tingting ; Teng, Min. In: Economic Modelling. RePEc:eee:ecmode:v:152:y:2025:i:c:s0264999325002603.

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2025Economic policy uncertainty, investor sentiment and systemic financial risk: Evidence from China. (2025). Zhao, Xiaofang ; Fang, Guobin ; Zhou, Xuehua ; Ma, Huimin ; Deng, Yaoxun ; Xie, Luoyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082400281x.

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2025News sentiment and investment risk management: Innovative evidence from the large language models. (2025). Liu, Tong ; Shi, Yanlin. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006086.

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2026Large-scale model comparison with fast model confidence sets. (2026). Barde, Sylvain. In: Journal of Econometrics. RePEc:eee:econom:v:253:y:2026:i:c:s0304407625001770.

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2025Bankruptcy prediction with fractional polynomial transformation of financial ratios. (2025). Taoushianis, Zenon. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:2:p:690-702.

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2025The perils of popularity: Retail investor attention and misguided M&As. (2025). Zhang, Hanfang ; Li, Weiping ; Xia, Jingjing. In: Emerging Markets Review. RePEc:eee:ememar:v:68:y:2025:i:c:s1566014125000846.

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2025Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks. (2025). Zhou, Yang ; Gong, Jue ; Wang, Gang-Jin ; Xie, Chi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000611.

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2025Interconnectedness among supply chain disruptions, energy crisis, and oil market volatility on economic resilience. (2025). Fu, Yuxi ; Yang, Shaopeng. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325001136.

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2025What is the focus of energy supply chain relationship management during geopolitical risks? Evidence from the stock market based on transaction cost economics. (2025). Bai, Shizhen ; He, Hao ; Han, Chunjia ; Shang, Wen-Long ; Yang, MU ; Fan, Weijia. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004566.

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2026Sentiments and risks: A spillover tale under climate policy uncertainty. (2026). Parhi, Mamata ; Mishra, Tapas ; Huang, Yingying ; Liang, Weizhong ; Duan, Kun. In: Energy Economics. RePEc:eee:eneeco:v:154:y:2026:i:c:s0140988325009314.

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2025What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673.

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2025Do hurricanes cause storm on the stock market? The case of US energy companies. (2025). Horvath, Roman ; Kalistov, Anna ; Horvth, Roman ; Moravcov, Michala ; Mikufov, Marta ; Lycsa, Tefan. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007488.

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2025A novel HAR-type realized volatility forecasting model using graph neural network. (2025). Yin, Xuebao ; Yao, Yuhang ; Hu, Nan. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008135.

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2025A novel content-based approach to measuring monetary policy uncertainty using fine-tuned LLMs. (2025). Ito, Arata ; Sato, Masahiro ; Ota, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325000972.

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2025How does media attention affect corporate credit asset allocation efficiency?. (2025). Huang, Rong ; Cao, Peng. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001217.

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2025Interest rate fluctuations and corporate financial leverage. (2025). Zhao, Jiawei ; Han, Yibo. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325006075.

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2025Is Investor Anxiety Attributable to Carbon Emissions Trading and Inflation?. (2025). Hung, Shih-Wei. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pd:s1544612325014096.

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2025Stock market reaction to mandatory carbon disclosure announcements: The role of institutional investors. (2025). Muktadir-Al, Dewan ; Zhang, Ziyang ; Sainani, Sushil ; Florackis, Chris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000034.

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2026The Bayesian context trees state space model for time series modelling and forecasting. (2026). Papageorgiou, Ioannis ; Kontoyiannis, Ioannis. In: International Journal of Forecasting. RePEc:eee:intfor:v:42:y:2026:i:2:p:474-491.

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2026Asymmetric models for realized covariances. (2026). Bauwens, Luc ; Dzuverovic, Emilija ; Hafner, Christian. In: International Journal of Forecasting. RePEc:eee:intfor:v:42:y:2026:i:2:p:640-656.

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2026Liquidity, sentiment, and global spillover across financial markets. (2026). Bei, Zeyun ; Zhou, Yinggang ; Cui, Liyuan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:161:y:2026:i:c:s0261560625002293.

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2025Double edged coverage? The impact of the analyst coverage network on stock price volatility. (2025). Zhou, QI ; Wang, Lixiang ; Fang, Zhiyi ; Wen, Jia. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25000903.

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2025Forecasting realized volatility using news flow. (2025). Fernandes, Marcelo. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:104:y:2025:i:c:s106297692500081x.

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2025How does investor attention affect corporate technology investment and innovation efficiency?. (2025). Qiao, Yize ; Dai, Haiyan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025006227.

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2026Investor attention, investor sentiment and media in stock market: A literature review and research agenda. (2026). Wang, Yuyuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:106:y:2026:i:c:s1059056026000687.

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2026Does investor attention drive the connectedness across FX, bond, stock, and commodity markets? Evidence from the federal funds rate. (2026). Tanizaki, Hisashi ; Zhang, Wenting ; Wang, Xin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:106:y:2026:i:c:s1059056026001401.

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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.

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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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2025Forecasting equity risk premium: The role of investor concern on oil price volatility. (2025). Li, Dakai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925002466.

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2025Do domestic and US economic policy uncertainty increase China’s macro-financial risk connectedness?. (2025). Zhou, Yang ; Hu, Chunyang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925003940.

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2026Attention to renewable energy: A risk-factor for stocks in the renewable energy sector. (2026). Lyócsa, Štefan ; Lycsa, Tefan ; Tabaek, Jakub. In: Research in International Business and Finance. RePEc:eee:riibaf:v:81:y:2026:i:c:s027553192500460x.

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2025Linear and nonlinear econometric models against machine learning models: realized volatility prediction. (2025). Kili, Rehim. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-61.

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2025On Regime Switching Models. (2025). Tan, Zhenni ; Wu, Yuehua. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1128-:d:1623629.

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2025Transformer-Based Downside Risk Forecasting: A Data-Driven Approach with Realized Downward Semi-Variance. (2025). Hao, Liang ; Kao, Chunyu ; Peng, Jiayi ; Ning, PO ; Zhang, Yuetong ; Song, Yuping. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:8:p:1260-:d:1632745.

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2026THE IMPACT OF CENTRAL BANK DIGITAL CURRENCIES NEWS ON BANK STABILITY: EVIDENCE FROM ASEAN-5 COUNTRIES. (2026). Setianto, Rahmat Heru ; Masrizal, Masrizal ; Sukmana, Raditya ; Hidayat, Firman. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:29:y:2026:i:1b:p:21-52.

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2025Automated Volatility Forecasting. (2025). Tang, Yushan ; Li, Sophia Zhengzi. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:7:p:6248-6274.

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2026Analyst Reports and Stock Performance: Evidence From the Chinese Market. (2026). Hu, Yujia ; Liu, Rui ; Chen, Haolong ; Liang, Jiayou. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:33:y:2026:i:2:d:10.1007_s10690-025-09522-w.

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2025Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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2025Realized Real-Time GARCH: A Joint Model for Returns, Realized Measures and Current Information. (2025). Wu, Zhimin ; Cai, Guanghui. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:4:d:10.1007_s10614-024-10805-z.

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2026When Positive Sentiment is not so Positive: Textual Analytics and Bank Failures. (2026). Lu, Cheng ; Gupta, Aparna ; Zaki, Mohammed J ; Simaan, Majeed. In: Computational Economics. RePEc:kap:compec:v:68:y:2026:i:1:d:10.1007_s10614-025-10969-2.

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2025Combining realized volatility estimators based on economic performance. (2025). Skintzi, Vasiliki ; Fameliti, Stavroula P. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:7:d:10.1057_s41260-025-00415-1.

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2025Anwendung von Deep Learning in der Prognose der Volatilität des DAX: Ein Vergleich der Prognosegüte von GARCH und LSTM. (2025). Knuth, Nico ; Nastansky, Andreas. In: Statistische Diskussionsbeiträge. RePEc:pot:statdp:59.

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2025Text Sentiment Mining used for Constructing Investor Sentiment in Social Media: Survey and Recommendations. (2025). Liu, Qing ; Son, Hosung. In: SAGE Open. RePEc:sae:sagope:v:15:y:2025:i:1:p:21582440251328535.

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2026Framing the Market: How Brand Visibility and Sentiment Shape Stock Reactions in the US, China, and India?. (2026). Loang, Ooi Kok. In: SAGE Open. RePEc:sae:sagope:v:16:y:2026:i:1:p:21582440251409444.

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2026Sequential estimation of multivariate factor stochastic volatility models. (2026). Calzolari, Giorgio ; Halbleib, Roxana ; McHer, Christian. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:110:y:2026:i:1:d:10.1007_s10182-025-00536-3.

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2025Enhancing Markowitzs portfolio selection paradigm with machine learning. (2025). de Prado, Marcos Lpez ; Simonian, Joseph ; Fabozzi, Francesco A. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06257-1.

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2025Change-points and functional features of intraday volatility in China stock market. (2025). Liu, Zhenya ; Boubaker, Sabri ; Zhai, Ling. In: Annals of Operations Research. RePEc:spr:annopr:v:352:y:2025:i:3:d:10.1007_s10479-022-05014-6.

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2025Predicting the volatility of Bitcoin returns based on kernel regression. (2025). Balcilar, Mehmet ; Anli, Sera ; Zmen, Mehmet. In: Annals of Operations Research. RePEc:spr:annopr:v:352:y:2025:i:3:d:10.1007_s10479-023-05490-4.

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2025Threshold mixed data sampling logit model with an application to forecasting US bank failures. (2025). Bai, Jianming ; Ren, Mingjian ; Yang, Lixiong. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:1:d:10.1007_s00181-024-02639-3.

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2026Advances in forecasting realized volatility: a review of methodologies. (2026). Leushuis, Radmir Mishelevich ; Petkov, Nicolai. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00809-5.

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2026Enhancing financial risk management: a novel multivariate neural network approach for realized covariance matrix prediction. (2026). Souto, Hugo Gobato ; Moradi, Amir. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00816-6.

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2026Black–scholes equation in quantitative finance with variable parameters: a path to a generalized schrodinger equation. (2026). Anukool, Waranont ; El-Nabulsi, Rami Ahmad. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00877-7.

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2025The risk–return trade-off of Bitcoin: Evidence from regime-switching analysis. (2025). Tsuji, Chikashi. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00551-5.

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2025Users’ self-description on social media: a methodology to integrate labels and textual information. (2025). Ricciardi, Riccardo. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:2:d:10.1007_s11135-024-01988-6.

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2025Can Chinese stock market volatility forecast US news sentiment?. (2025). Guo, Wei. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:5:d:10.1007_s11135-025-02163-1.

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2025Monetary policy transmission through financial markets in Tanzania: examining the macroeconomic impacts. (2025). Kasongwa, Lusekelo ; Mwakalila, Enock. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:8:d:10.1007_s43546-025-00860-5.

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2025Are Investors Interested in Sustainability? A Latent Semantic Analysis of Data from Social Media. (2025). Manisera, Marica ; Avanzi, Chiara ; Ricciardi, Riccardo. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:180:y:2025:i:2:d:10.1007_s11205-025-03693-9.

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

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2025Learning Models from Prices. (2025). Dindo, Pietro ; Massari, Filippo. In: Working Papers. RePEc:ven:wpaper:2025:17.

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2025The S&P 500 sectoral indices responses to economic news sentiment. (2025). Madani, Mohamed Arbi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:2042-2060.

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2025Stock Price Limit and Its Predictability in the Chinese Stock Market. (2025). Liang, Haohui ; Hu, Yujia. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:297-319.

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2025Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2025). Hecq, Alain ; Ternes, Marie ; Wilms, Ines. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:6:p:1946-1968.

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2026Exploring the Forecasting of Crude Oil, Gold, and Euro Currency Implied Volatility Indices: Insights From the Decomposed Stock Market Volatility. (2026). Huang, Shiyuan ; Qiao, Gaoxiu ; Jiang, Gongyue. In: Journal of Forecasting. RePEc:wly:jforec:v:45:y:2026:i:3:p:1203-1224.

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2026Machine Learning Approaches to Forecast the Realized Volatility of Crude Oil Prices. (2026). Uddin, Gazi Salah ; Sjlander, PR ; Mnsson, Kristofer ; Omer, Talha. In: Journal of Forecasting. RePEc:wly:jforec:v:45:y:2026:i:4:p:1633-1651.

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2026The Role of Price‐Volatility Cojumps in Volatility Forecasting. (2026). Liao, Kefu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:5:p:931-951.

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2025Retail investor attention and stock return volatility: The moderating role of ownership concentration in China. (2025). Hu, Wenbin ; Sun, Hui. In: Review of Financial Economics. RePEc:wly:revfec:v:43:y:2025:i:4:p:433-456.

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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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2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning In: Papers.
[Full Text][Citation analysis]		paper1
2024Hard to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning.(2024) In: Swiss Finance Institute Research Paper Series.
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2026HARd to beat: The overlooked impact of rolling windows in the era of machine learning.(2026) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 1		article
2006Tree-Structured Multiple Regimes in Interest Rates In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article3
2011A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article24
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: 24		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: 24		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: 24		paper
2001Tree‐structured generalized autoregressive conditional heteroscedastic models In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article9
2009Splines for financial volatility In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article17
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: 17		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]		article12
2024Quantifying Uncertainty: A New Era of Measurement through Large Language Models In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper3
2024Quantifying uncertainty: a new era of measurement through large language models.(2024) In: Working Papers.
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2024Does sentiment help in asset pricing? A novel approach using large language models and market-based labels In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2019Predicting U.S. Bank Failures with MIDAS Logit Models In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article12
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.
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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.
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2024Yield curve trading strategies exploiting sentiment data In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article0
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]		article17
2024The impact of macroeconomic news sentiment on interest rates 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]		article36
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.
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2014Monetary policy regimes: Implications for the yield curve and bond pricing In: Journal of Financial Economics.
[Full Text][Citation analysis]		article6
2016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect In: Econometrics.
[Full Text][Citation analysis]		article46
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.
[Full Text][Citation analysis]		article1
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.
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2021An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
2024How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		paper9
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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Volatility estimation with functional gradient descent for very high-dimensional financial time series In: Journal of Computational Finance.
[Full Text][Citation analysis]		article0
Synchronizing multivariate financial time series In: Journal of Risk.
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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]		article1
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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This paper has nother version. Agregated cites: 1		paper
2016Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics In: Econometric Reviews.
[Full Text][Citation analysis]		article59
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: 59		paper
2007Realized Correlation Tick-by-Tick In: University of St. Gallen Department of Economics working paper series 2007.
[Full Text][Citation analysis]		paper12
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]		paper34
2015Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation.(2015) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 34		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

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