Details about Francesco Audrino

Access statistics for papers by Francesco Audrino.

Last updated 2023-10-17. Update your information in the RePEc Author Service.

Short-id: pau34

Working Papers

2015

1. Testing the lag structure of assets’ realized volatility dynamics
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (4)

2014

2. An Empirical Analysis of the Ross Recovery Theorem
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (13)

2013

3. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science
   See also Journal Article Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data, Journal of Banking & Finance, Elsevier (2015) View citations (6) (2015)
4. Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models
   Papers, arXiv.org View citations (5)
   Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2013) View citations (5)

2012

5. Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (2)
6. Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (6)
   See also Journal Article Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics, Econometric Reviews, Taylor & Francis Journals (2016) View citations (44) (2016)
7. Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (13)
   See also Journal Article Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (20) (2015)

2011

8. Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (5)
   See also Journal Article Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks, Computational Statistics & Data Analysis, Elsevier (2014) View citations (4) (2014)
9. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (7)
   See also Journal Article Volatility Forecasting: Downside Risk, Jumps and Leverage Effect, Econometrics, MDPI (2016) View citations (32) (2016)

2010

10. Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators
    University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen
    See also Journal Article Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators, Econometric Reviews, Taylor & Francis Journals (2016) (2016)
11. Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (6)
    See also Journal Article Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (5) (2011)

2009

12. Option trading strategies based on semi-parametric implied volatility surface prediction
    University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen
13. Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach
    University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen

2008

14. Modeling Tick-by-Tick Realized Correlations
    University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen View citations (1)
    See also Journal Article Modeling tick-by-tick realized correlations, Computational Statistics & Data Analysis, Elsevier (2010) View citations (26) (2010)
15. Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
    University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen View citations (4)
    See also Journal Article Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects, Journal of Financial Econometrics, Oxford University Press (2012) View citations (10) (2012)
16. Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process
    University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen View citations (1)

2007

17. A general multivariate threshold GARCH model with dynamic conditional correlations
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (7)
    Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005) View citations (3)
    See also Journal Article A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations, Journal of Business & Economic Statistics, American Statistical Association (2011) View citations (21) (2011)
18. Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (6)
19. Forecasting Implied Volatility Surfaces
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen
20. Realized Correlation Tick-by-Tick
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (13)
21. Splines for Financial Volatility
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (2)
    See also Journal Article Splines for financial volatility, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2009) View citations (13) (2009)

2005

22. Accurate Yield Curve Scenarios Generation using Functional Gradient Descent
    Computing in Economics and Finance 2005, Society for Computational Economics

Undated

23. Beta Regimes for the Yield Curve
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich View citations (14)
    See also Journal Article Beta Regimes for the Yield Curve, Journal of Financial Econometrics, Oxford University Press View citations (12)

Journal Articles

2022

1. The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section
   Forecasting, 2022, 4, (4), 1-35
2. When does attention matter? The effect of investor attention on stock market volatility around news releases
   International Review of Financial Analysis, 2022, 82, (C) View citations (6)

2021

3. An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device*
   (Nonparametric Option Pricing under Shape Restrictions)
   Journal of Financial Econometrics, 2021, 19, (2), 291-312 View citations (3)

2020

4. The impact of sentiment and attention measures on stock market volatility
   International Journal of Forecasting, 2020, 36, (2), 334-357 View citations (94)

2019

5. Flexible HAR model for realized volatility
   Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (3), 22 View citations (10)
6. Predicting U.S. Bank Failures with MIDAS Logit Models
   Journal of Financial and Quantitative Analysis, 2019, 54, (6), 2575-2603 View citations (9)
7. Sentiment spillover effects for US and European companies
   Journal of Banking & Finance, 2019, 106, (C), 542-567 View citations (24)

2018

8. Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs
   Journal of Quantitative Analysis in Sports, 2018, 14, (4), 185-199 View citations (1)
9. Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators
   Journal of Time Series Analysis, 2018, 39, (2), 111-128 View citations (3)

2016

10. Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
    Econometric Reviews, 2016, 35, (2), 232-256
    See also Working Paper Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators, University of St. Gallen Department of Economics working paper series 2010 (2010) (2010)
11. Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics
    Econometric Reviews, 2016, 35, (8-10), 1485-1521 View citations (44)
    See also Working Paper Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics, Economics Working Paper Series (2012) View citations (6) (2012)
12. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
    Econometrics, 2016, 4, (1), 1-24 View citations (32)
    See also Working Paper Volatility Forecasting: Downside Risk, Jumps and Leverage Effect, Economics Working Paper Series (2011) View citations (7) (2011)

2015

13. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
    Journal of Banking & Finance, 2015, 61, (C), 46-63 View citations (6)
    See also Working Paper Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data, Economics Working Paper Series (2013) (2013)
14. Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation
    Journal of Applied Econometrics, 2015, 30, (3), 377-397 View citations (20)
    See also Working Paper Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation, Economics Working Paper Series (2012) View citations (13) (2012)

2014

15. Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks
    Computational Statistics & Data Analysis, 2014, 76, (C), 43-60 View citations (4)
    See also Working Paper Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks, Economics Working Paper Series (2011) View citations (5) (2011)
16. Monetary policy regimes: Implications for the yield curve and bond pricing
    Journal of Financial Economics, 2014, 113, (3), 427-454 View citations (6)

2012

17. Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
    Journal of Financial Econometrics, 2012, 10, (4), 591-616 View citations (10)
    See also Working Paper Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects, University of St. Gallen Department of Economics working paper series 2008 (2008) View citations (4) (2008)
18. What Drives Short Rate Dynamics? A Functional Gradient Descent Approach
    Computational Economics, 2012, 39, (3), 315-335 View citations (2)

2011

19. A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
    Journal of Business & Economic Statistics, 2011, 29, (1), 138-149 View citations (21)
    Also in Journal of Business & Economic Statistics, 2011, 29, (1), 138-149 (2011) View citations (21)
    See also Working Paper A general multivariate threshold GARCH model with dynamic conditional correlations, University of St. Gallen Department of Economics working paper series 2007 (2007) View citations (7) (2007)
20. Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging
    Journal of Applied Econometrics, 2011, 26, (6), 999-1022 View citations (5)
    See also Working Paper Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging, Textos para discussão (2010) View citations (6) (2010)

2010

21. Modeling tick-by-tick realized correlations
    Computational Statistics & Data Analysis, 2010, 54, (11), 2372-2382 View citations (26)
    See also Working Paper Modeling Tick-by-Tick Realized Correlations, University of St. Gallen Department of Economics working paper series 2008 (2008) View citations (1) (2008)

2009

22. Splines for financial volatility
    Journal of the Royal Statistical Society Series B, 2009, 71, (3), 655-670 View citations (13)
    See also Working Paper Splines for Financial Volatility, University of St. Gallen Department of Economics working paper series 2007 (2007) View citations (2) (2007)

2007

23. A Forecasting Model for Stock Market Diversity
    Annals of Finance, 2007, 3, (2), 213-240 View citations (3)

2006

24. A dynamic model of expected bond returns: A functional gradient descent approach
    Computational Statistics & Data Analysis, 2006, 51, (4), 2267-2277 View citations (2)
25. Average conditional correlation and tree structures for multivariate GARCH models
    Journal of Forecasting, 2006, 25, (8), 579-600 View citations (3)
26. Estimating and predicting multivariate volatility thresholds in global stock markets
    Journal of Applied Econometrics, 2006, 21, (3), 345-369 View citations (13)
    Also in Journal of Applied Econometrics, 2006, 21, (3), 345-369 (2006)
27. The impact of general non-parametric volatility functions in multivariate GARCH models
    Computational Statistics & Data Analysis, 2006, 50, (11), 3032-3052 View citations (13)
28. Tree-Structured Multiple Regimes in Interest Rates
    Journal of Business & Economic Statistics, 2006, 24, 338-353 View citations (12)

2005

29. A multivariate FGD technique to improve VaR computation in equity markets
    Computational Management Science, 2005, 2, (2), 87-106 View citations (5)
30. Functional gradient descent for financial time series with an application to the measurement of market risk
    Journal of Banking & Finance, 2005, 29, (4), 959-977 View citations (9)
31. Local Likelihood for non‐parametric ARCH(1) models
    Journal of Time Series Analysis, 2005, 26, (2), 251-278 View citations (3)
32. The Stability of Factor Models of Interest Rates
    Journal of Financial Econometrics, 2005, 3, (3), 422-441 View citations (8)

2001

33. Tree‐structured generalized autoregressive conditional heteroscedastic models
    Journal of the Royal Statistical Society Series B, 2001, 63, (4), 727-744 View citations (7)

Undated

34. Beta Regimes for the Yield Curve
    Journal of Financial Econometrics, 5, (3), 456-490 View citations (12)
    See also Working Paper Beta Regimes for the Yield Curve, IEW - Working Papers View citations (14)