Francesco Audrino : Citation Profile

Universität St. Gallen

11

H index

17

i10 index

530

Citations

RESEARCH PRODUCTION:

36

Articles

25

Papers

RESEARCH ACTIVITY:

   21 years (2001 - 2022). See details.
   Cites by year: 25
   Journals where Francesco Audrino has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 30 (5.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pau34
   Updated: 2025-12-27    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:

Fengler, Matthias (15)

Medeiros, Marcelo (13)

Ruiz, Esther (12)

Lyócsa, Štefan (10)

Okhrin, Ostap (10)

Zhang, Yaojie (9)

Stentoft, Lars (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)

Shephard, Neil (31)

Engle, Robert (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
Computational Statistics & Data Analysis4
Journal of Financial Econometrics4
Journal of Applied Econometrics3
Journal of Banking & Finance3
Journal of Time Series Analysis2
Journal of the Royal Statistical Society Series B2
Econometric Reviews2
Journal of Business & Economic Statistics2

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

Recent works citing Francesco Audrino (2025 and 2024)

YearTitle of citing document
2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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

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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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2024Enhancing Profitability and Investor Confidence through Interpretable AI Models for Investment Decisions. (2024). Latif, Seemab ; Arshad, Sahar ; Irfan, Saadia ; Salman, Ahmad. In: Papers. RePEc:arx:papers:2312.16223.

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2024Adaptive 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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2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

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2024When 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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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.

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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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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.

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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.

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

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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

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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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2024Information content of option prices: Comparing analyst forecasts to option-based forecasts. (2024). Sanford, Anthony. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001220.

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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.

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

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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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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). Lyócsa, Štefan ; Lyocsa, Tefan ; Todorova, Neda. 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, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002457.

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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). He, Hao ; Han, Chunjia ; Shang, Wen-Long ; Yang, MU ; Fan, Weijia ; Bai, Shizhen. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004566.

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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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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Hansen, Erwin ; Diaz, Juan D ; Cabrera, Gabriel. 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). Audrino, Francesco ; Offner, Eric A. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002254.

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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.

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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.

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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.

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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.

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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.

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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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2024Does news related to digital economy and central bank digital currency affect digital economy ETFs? Evidence from TVP-VAR connectedness and wavelet local multiple correlation analyses. (2024). lucey, brian ; Billah, Syed ; Hoque, Mohammad Enamul ; Alam, Md Rafayet. In: Global Finance Journal. RePEc:eee:glofin:v:61:y:2024:i:c:s1044028324000644.

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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.

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

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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.

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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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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.

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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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2024Fear, extreme fear and U.S. stock market returns. (2024). Gradojevic, Nikola ; Bouri, Elie ; Nekhili, Ramzi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:656:y:2024:i:c:s0378437124007210.

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2024Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective. (2024). Xu, Yanyan ; Liu, Jing ; Chu, Jielei ; Ma, Feng. 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). ben Osman, Myriam ; Guesmi, Khaled ; Naoui, Kamel ; Hamdi, Haykel ; Galariotis, Emilios. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:272-285.

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2024Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set. (2024). Wang, Gang-Jin ; Zeng, Zhi-Jian ; Li, Zhao-Chen ; Zhu, You ; Gong, Jue ; Xie, Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:673-711.

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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.

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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.

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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.

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2024Credit risk prediction based on loan profit: Evidence from Chinese SMEs. (2024). Li, Zhe ; 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). Ouyang, Zisheng ; Zhou, Xuewei ; Lu, Min ; Liu, KE. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

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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.

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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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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.

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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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2024Information aggregation with asymmetric asset payoffs. (2024). Hellwig, Christian ; Tsyvinski, Aleh ; Albagli, Elias. In: Post-Print. RePEc:hal:journl:hal-04867329.

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2024Optimal Currency Portfolio with Implied Return Distribution in the Mean-Variance Approach. (2024). Hibiki, Yuta ; Kiriu, Takuya. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:2:d:10.1007_s10690-023-09414-x.

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2024Autoregressive Random Forests: Machine Learning and Lag Selection for Financial Research. (2024). Polyzos, Efstathios ; Siriopoulos, Costas. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10429-9.

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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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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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2024Data selection and collection for constructing investor sentiment from social media. (2024). Liu, Qing ; Son, Hosung. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03316-7.

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2024Methods for aggregating investor sentiment from social media. (2024). Liu, Qing ; Son, Hosung. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03434-2.

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2024Unveiling multiscale spatiotemporal dynamics of volatility in high-frequency financial markets. (2024). Chen, Tingting ; Peng, Wenyan ; Ouyang, Fangyan. In: PLOS ONE. RePEc:plo:pone00:0315308.

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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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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.

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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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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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2024An interval constraint-based trading strategy with social sentiment for the stock market. (2024). Yang, Kun ; Li, Mingchen ; Lin, Wencan ; Wei, Yunjie ; Wang, Shouyang. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00567-2.

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2024A hybrid econometrics and machine learning based modeling of realized volatility of natural gas. (2024). Kristjanpoller, Werner. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00577-0.

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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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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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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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2024News sentiment and international equity markets during BREXIT period: A textual and connectedness analysis. (2024). Duc, Toan Luu ; Wang, Mei ; Koch, Alexander. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:1:p:5-34.

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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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2024Text‐based sentiment analysis in finance: Synthesising the existing literature and exploring future directions. (2024). Moshfeghi, Yashar ; Bowden, James ; Todd, Andrew. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:31:y:2024:i:1:n:e1549.

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2024Forecasting the volatility of crude oil futures: A time‐dependent weighted least squares with regularization constraint. (2024). Wang, Yudong ; Hao, Xianfeng ; Geng, Qianjie. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:309-325.

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2024The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic. (2024). laopodis, nikiforos ; Kouretas, Georgios ; Salachas, Evangelos. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:4:p:1018-1041.

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2024Volatility forecasting for stock market incorporating media reports, investors sentiment, and attention based on MTGNN model. (2024). Song, Yuping ; Lei, Bolin. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1706-1730.

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2024Text‐based corn futures price forecasting using improved neural basis expansion network. (2024). An, Wuyue ; Wang, Lin ; Li, Fengting. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2042-2063.

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

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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.
[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.
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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]		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]		article7
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]		article11
2019Predicting U.S. Bank Failures with MIDAS Logit Models In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article11
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]		article12
2020The impact of sentiment and attention measures on stock market volatility In: International Journal of Forecasting.
[Full Text][Citation analysis]		article118
2019Sentiment spillover effects for US and European companies In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article28
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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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]		article7
2016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect In: Econometrics.
[Full Text][Citation analysis]		article42
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: 42		paper
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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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]		article5
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.
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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]		article53
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: 53		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

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