Concepedia

Francesco Audrino

FA

29

Publications

834

Citations

16

H-Index

2000

Active since

Affiliations

University of St.Gallen(Current)

Università della Svizzera italiana

Swiss Finance Institute

Francesco Audrino is an author at University of St.Gallen specializing in business, statistics, and engineering.

Top concepts

BusinessFinanceStatisticsEngineeringEconometricsAsset PricingVolatility ModelingEconomicsForecastingTime Series Econometrics

Publications per year

2000–2024

29

Publications

29

Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics

Francesco Audrino, Simon D. Knaus · Econometric Reviews · 2015 · 125 citations

Volatility Modeling, Engineering, Financial Mathematics +19

Volatility Forecasting: Downside Risk, Jumps and Leverage Effect

Francesco Audrino, Yujia Hu · Econometrics · 2016 · 63 citations · Full text

Volatility Modeling, Engineering, Time Series Econometrics +17

Sentiment spillover effects for US and European companies

Francesco Audrino, Anastasija Tetereva · Journal of Banking & Finance · 2019 · 55 citations · Full text

International Management, International Business, Bias +5

Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation

Fulvio Corsi, Stefano Peluso, Francesco Audrino · Journal of Applied Econometrics · 2014 · 54 citations · Full text

Empirical Finance, Volatility Modeling, Covariance Matrix +23

Tree-structured Generalized Autoregressive Conditional Heteroscedastic Models

Francesco Audrino, Peter Bühlmann · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2001 · 43 citations · Full text

Econometric Model, Volatility Modeling, Classical Garch Model +11

Rows per page

1–5 of 29