← All authors Francesco Audrino University of St. Gallen (from arXiv:2406.08041, 2024) · ORCID · OpenAlex
47 papers in scope · 47 published · 1 on the econ.EM arXiv · 1,291 citations · h-index 17 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Marie Corillon Ines Wilms Marie Ternes Stephan Smeekes Alain Hecq Jonathan Chassot Jacob Bien Jonas Striaukas Éric Ghysels Luca Margaritella Andrii Babii Joann Jasiak Anna E. C. Simoni Francesco Giancaterini Eduardo Mendes Aryan Manafi Neyazi Gianluca Cubadda Etiënne Wijler Matteo Mogliani Marcelo C. Medeiros Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 47)
published 2025 · International Journal of Forecasting · 3 citations · first circulated 2024
Yield curve trading strategies exploiting sentiment data
published 2024 · The North American Journal of Economics and Finance · 1 citations
with Jan Serwart
The impact of macroeconomic news sentiment on interest rates
published 2024 · International Review of Financial Analysis · 16 citations
with Eric Offner
The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section
published 2022 · Forecasting · 4 citations
with Marcial Messmer
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning
published 2022 · Journal of Financial Econometrics · 2 citations
When does attention matter? The effect of investor attention on stock market volatility around news releases
published 2022 · International Review of Financial Analysis · 59 citations · first circulated 2019
Strongest Team Favoritism in European National Football: Myth or Reality?
published 2020 · International Journal of Sport Finance · 3 citations
The impact of sentiment and attention measures on stock market volatility
published 2019 · International Journal of Forecasting · 298 citations · first circulated 2018
Audrino, F., & Tetereva, A. (2019). Sentiment spillover effects for US and European companies
published 2019 · Journal of Banking & Finance · 60 citations · first circulated 2017
with Anastasija Tetereva
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device
published 2019 · Journal of Financial Econometrics · 29 citations
with Robert Huitema, Markus Ludwig
Wild multiplicative bootstrap for M and GMM estimators in time series
published 2019 · Quantitative Finance and Economics · 1 citations
with Lorenzo Camponovo, Constantin Roth
Flexible HAR model for realized volatility
published 2018 · Studies in Nonlinear Dynamics and Econometrics · 36 citations
Predicting U.S. Bank Failures with MIDAS Logit Models
published 2018 · Journal of Financial and Quantitative Analysis · 42 citations
Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs
published 2018 · Journal of Quantitative Analysis in Sports · 3 citations
Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M ‐Estimators
published 2017 · Journal of Time Series Analysis · 12 citations
with Lorenzo Camponovo
Testing the Lag Structure of Assets’ Realized Volatility Dynamics
published 2017 · Quantitative Finance and Economics · 10 citations · first circulated 2015
with Lorenzo Camponovo, Constantin Roth
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
published 2016 · Econometrics · 66 citations · first circulated 2011
with Yujia Hu
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics
published 2015 · Econometric Reviews · 131 citations · first circulated 2013
with Simon D. Knaus
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
published 2015 · Journal of Banking & Finance · 7 citations · first circulated 2013
with Matthias R. Fengler
Monetary policy regimes: Implications for the yield curve and bond pricing
published 2014 · Journal of Financial Economics · 15 citations · first circulated 2013
with Kameliya Filipova, Enrico De Giorgi, Enrico G. De Giorgi
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation
published 2014 · Journal of Applied Econometrics · 55 citations · first circulated 2012
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
published 2013 · Econometric Reviews · 4 citations · first circulated 2010
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks
published 2013 · Computational Statistics & Data Analysis · 11 citations · first circulated 2011
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
published 2012 · Journal of Financial Econometrics · 15 citations · first circulated 2008
What Drives Short Rate Dynamics? A Functional Gradient Descent Approach
published 2011 · Computational Economics · 5 citations
Option strategies based on semiparametric implied volatility surface prediction
published 2011 · The Journal of Investment Strategies
with Dominik Colangelo
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
published 2010 · Journal of Business and Economic Statistics · 25 citations · first circulated 2004
with Fabio Trojani
Modeling and forecasting short-term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging
published 2010 · Journal of Applied Econometrics · 1 citations
Modeling tick-by-tick realized correlations
published 2009 · Computational Statistics & Data Analysis · 43 citations · first circulated 2008
Semi-parametric forecasts of the implied volatility surface using regression trees
published 2009 · Statistics and Computing · 28 citations
with Dominik Colangelo
Splines for Financial Volatility
published 2009 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 30 citations · first circulated 2007
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
published 2007 · Journal of Financial Econometrics · 16 citations
with Fabio Trojani
Beta Regimes for the Yield Curve
published 2007 · Journal of Financial Econometrics · 15 citations · first circulated 2005
with E. De Giorgi, Enrico G. De Giorgi
A dynamic model of expected bond returns: A functional gradient descent approach
published 2006 · Computational Statistics & Data Analysis · 9 citations
with Giovanni Barone-Adesi
Tree-Structured Multiple Regimes in Interest Rates
published 2006 · Journal of Business and Economic Statistics · 14 citations
A Forecasting Model for Stock Market Diversity
published 2006 · Annals of Finance · 10 citations
with Robert Fernholz, Roberto Ferretti
Estimating and predicting multivariate volatility thresholds in global stock markets
published 2006 · Journal of Applied Econometrics · 23 citations · first circulated 2003
with Fabio Trojani
Average conditional correlation and tree structures for multivariate GARCH models
published 2006 · Journal of Forecasting · 14 citations · first circulated 2004
with Giovanni Barone-Adesi
The impact of general non-parametric volatility functions in multivariate GARCH models
published 2005 · Computational Statistics & Data Analysis · 17 citations
The Stability of Factor Models of Interest Rates
published 2005 · Journal of Financial Econometrics · 16 citations
with Giovanni Barone-Adesi, Antonietta Mira
A multivariate FGD technique to improve VaR computation in equity markets
published 2005 · Computational Management Science · 11 citations · first circulated 2003
with Giovanni Barone-Adesi
Local Likelihood for non‐parametric ARCH(1) models
published 2005 · Journal of Time Series Analysis · 10 citations · first circulated 2003
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent
published 2005 · Computing in Economics and Finance · 3 citations
with Fabio Trojani
no link
Functional gradient descent for financial time series with an application to the measurement of market risk
published 2004 · Journal of Banking & Finance · 17 citations
with Giovanni Barone-Adesi
Synchronizing multivariate financial time series
published 2004 · The Journal of Risk · 16 citations · first circulated 2001
Volatility estimation with functional gradient descent for very high-dimensional financial time series
published 2003 · The Journal of Computational Finance · 40 citations · first circulated 2001
Tree-structured Generalized Autoregressive Conditional Heteroscedastic Models
published 2001 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 45 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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