Francesco Audrino

University of St. Gallen

Bodanstrasse 6

St. Gallen, CH-9000

Switzerland

SCHOLARLY PAPERS

32

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8,363

SSRN CITATIONS
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Top 11,997

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24

CROSSREF CITATIONS

50

Scholarly Papers (32)

1.

An Empirical Analysis of the Ross Recovery Theorem

Number of pages: 39 Posted: 06 May 2014 Last Revised: 01 Mar 2015
Francesco Audrino, Robert Huitema and Markus Ludwig
University of St. Gallen, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 866 (26,672)
Citation 18

Abstract:

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risk-neutral density, pricing kernel, risk aversion, predictive information

2.

Forecasting Implied Volatility Surfaces

University of St. Gallen, Department of Economics, Discussion Paper No. 2007-42
Number of pages: 40 Posted: 25 Nov 2007 Last Revised: 14 Oct 2013
Francesco Audrino and Dominik Colangelo
University of St. Gallen and University of Lugano
Downloads 840 (27,788)

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Implied Volatility, Implied Volatility Surface, Forecasting, Tree Boosting, Regression Tree, Functional Gradient Descent

3.

A General Multivariate Threshold GARCH Model for Dynamic Correlations

NCCR FINRISK Working Paper
Number of pages: 41 Posted: 21 Jan 2004
Francesco Audrino and Fabio Trojani
University of St. Gallen and Swiss Finance Institute
Downloads 615 (42,468)

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Multivariate GARCH models, Dynamic conditional correlations, Tree-structured GARCH models, Model confidence set approach

4.

Realized Correlation Tick-By-Tick

University of St. Gallen, Department of Economics, Discussion Paper No. 2007-02
Number of pages: 32 Posted: 19 Jan 2007
Fulvio Corsi and Francesco Audrino
University of Pisa - Department of Economics and University of St. Gallen
Downloads 591 (44,786)
Citation 11

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High frequency data, Realized Correlation, Market Microstructure, Bias correction, HAR, Regimes

5.

Monetary Policy Regimes: Implications for the Yield Curve and Bond Pricing

Number of pages: 58 Posted: 14 Mar 2013 Last Revised: 08 Oct 2013
Kameliya Filipova, Francesco Audrino and Enrico G. De Giorgi
University of St. Gallen, University of St. Gallen and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 469 (60,015)
Citation 1

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Threshold regime switching model; Macroeconomic variables; Term structure of interest rates; Asset pricing; Nonlinear dynamics; Business cycles.

6.

Historical Yield Curve Scenarios Generation Without Resorting to Variance Reduction Techniques

Number of pages: 30 Posted: 01 Sep 2003
Francesco Audrino and Fabio Trojani
University of St. Gallen and Swiss Finance Institute
Downloads 445 (64,024)

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Conditional mean and volatility estimation, Filtered Historical Simulation, Functional Gradient Descent, Term structure, Multivariate CCC-GARCH models

7.

Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets

Number of pages: 29 Posted: 20 Mar 2003
Francesco Audrino and Fabio Trojani
University of St. Gallen and Swiss Finance Institute
Downloads 411 (70,464)
Citation 5

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Nonlinear AR-GARCH models, Threshold tree structured models, multiple regimes models

8.

Modeling Tick-by-Tick Realized Correlations

University of St. Gallen Economics Discussion Paper No. 2008-05
Number of pages: 29 Posted: 18 Feb 2008 Last Revised: 27 Apr 2008
Francesco Audrino and Fulvio Corsi
University of St. Gallen and University of Pisa - Department of Economics
Downloads 372 (79,143)

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High frequency data, Realized correlation, Stock-bond correlation, Tree-structured models, HAR, Regimes

9.

The (Adaptive) Lasso in the Zoo - Firm Characteristic Selection in the Cross-Section of Expected Returns

Number of pages: 46 Posted: 10 Mar 2017
Marcial Messmer and Francesco Audrino
University of St. Gallen and University of St. Gallen
Downloads 353 (84,103)
Citation 3

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Factor models, cross-section, Lasso, asset pricing, firm characteristics selection

10.

Average Conditional Correlation and Tree Structures for Multivariate GARCH Models

Number of pages: 36 Posted: 03 Jun 2004
Francesco Audrino and Giovanni Barone-Adesi
University of St. Gallen and University of Lugano
Downloads 327 (91,698)
Citation 6

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Multivariate GARCH models,Dynamic conditional correlations,Tree-structured GARCH models, Model confidence set approach

11.

Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects

University of St. Gallen Economics Discussion Paper No. 2008-04
Number of pages: 30 Posted: 18 Feb 2008
Francesco Audrino and Fulvio Corsi
University of St. Gallen and University of Pisa - Department of Economics
Downloads 305 (98,986)
Citation 4

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High frequency data, Realized covariance, Market microstructure, Bias correction

12.
Downloads 305 ( 98,986)

Beta Regimes for the Yield Curve

Number of pages: 34 Posted: 20 May 2005
Francesco Audrino and Enrico G. De Giorgi
University of St. Gallen and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 305 (98,458)

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Threshold Regime Switching Model, Affine Model, Term Structure of Interest Rate, Linearized Kalman Filter.

Beta Regimes for the Yield Curve

Journal of Financial Econometrics, Vol. 5, Issue 3, pp. 456-490, 2007
Posted: 16 Jun 2008
Francesco Audrino and Enrico G. De Giorgi
University of St. Gallen and University of St. Gallen - SEPS: Economics and Political Sciences

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affine model, linearized Kalman filter, term structure of interest rate, threshold regime switching model

13.

A Multivariate Fgd Technique to Improve VAR Computation in Equity Markets

Number of pages: 30 Posted: 15 Jan 2003
Francesco Audrino and Giovanni Barone-Adesi
University of St. Gallen and University of Lugano
Downloads 256 (119,275)
Citation 3

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Volatility estimation, Filtered Historical Simulation, Value-at-Risk

14.

Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation

Number of pages: 32 Posted: 09 Feb 2012 Last Revised: 11 Sep 2013
Fulvio Corsi, Stefano Peluso and Francesco Audrino
University of Pisa - Department of Economics, University of Lugano and Swiss Finance Institute and University of St. Gallen
Downloads 252 (121,211)
Citation 5

Abstract:

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High frequency data, Realized covariance matrix, Market microstructure noise, Missing data, Kalman filter, EM algorithm, Maximum likelihood

15.

A General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations

University of St.Gallen, Department of Economics, Discussion Paper No. 2007-25
Number of pages: 34 Posted: 14 Apr 2005
Fabio Trojani and Francesco Audrino
Swiss Finance Institute and University of St. Gallen
Downloads 246 (124,247)
Citation 3

Abstract:

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Multivariate GARCH models, Dynamic conditional correlations, Tree-structured GARCH models

16.

Splines for Financial Volatility

University of St. Gallen Department of Economics Discussion Paper No. 2007-11
Number of pages: 25 Posted: 02 May 2007
Francesco Audrino and Peter Buhlmann
University of St. Gallen and Swiss Federal Institute of Technology Zurich (ETH)
Downloads 203 (149,625)
Citation 1

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Boosting, B-splines, Conditional variance, Financial time series, GARCH model, Volatility

17.

The Impact of Sentiment and Attention Measures on Stock Market Volatility

Number of pages: 33 Posted: 16 Jun 2018
Francesco Audrino, Fabio Sigrist and Daniele Ballinari
University of St. Gallen, Institute of Financial Services Zug (IFZ) and University of St. Gallen
Downloads 181 (166,364)
Citation 2

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Sentiment, Investor Attention, Realized Volatility, Volatility Forecasting, HAR

18.

Sentiment Spillover Effects for US and European Companies

Number of pages: 42 Posted: 24 Apr 2017
Francesco Audrino and Anastasija Tetereva
University of St. Gallen and University of St. Gallen
Downloads 177 (169,695)
Citation 2

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TRMI, sentiment, news, lasso, Granger causality, news networks

19.

Empirical Pricing Kernel Estimation Using a Functional Gradient Descent Algorithm Based on Splines

Number of pages: 36 Posted: 05 Apr 2012 Last Revised: 17 Dec 2012
Pirmin Meier and Francesco Audrino
University of St. Gallen and University of St. Gallen
Downloads 157 (188,171)

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Empirical pricing kernel, FGD, B-splines, option pricing

20.
Downloads 156 (189,161)
Citation 1

Local Likelihood for Non-Parametric Arch(1) Models

Number of pages: 25 Posted: 15 Jan 2003
Francesco Audrino
University of St. Gallen
Downloads 135 (213,561)

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Conditional variance, Return time series, Volatility, Autoregressive Conditional heteroscedastic model, Local likelihood, Kernel regression smoothing

Local Likelihood for Non-Parametric Arch(1) Models

Journal of Time Series Analysis, Vol. 26, No. 2, pp. 251-278, March 2005
Number of pages: 28 Posted: 18 Feb 2005
Francesco Audrino
University of St. Gallen
Downloads 21 (533,679)
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21.

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

Number of pages: 54 Posted: 14 Oct 2013
Francesco Audrino and Simon Knaus
University of St. Gallen and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 140 (206,695)
Citation 8

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Realized Volatility, Heterogeneous Autoregressive Model, Lasso, Model Selection

22.

Testing the Lag Structure of Assets' Realized Volatility Dynamics

Number of pages: 37 Posted: 14 Jan 2015 Last Revised: 03 Feb 2015
Francesco Audrino, Lorenzo Camponovo and Constantin Roth
University of St. Gallen, University of St. Gallen and University of St. Gallen
Downloads 134 (214,196)
Citation 5

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Realized volatility, Adaptive lasso, HAR model, Test for false positives, Lag structure

23.

Volatility Forecasting: Downside Risk, Jumps and Leverage Effect

University of St. Gallen Department of Economics and Political Science Discussion Paper No. 2011-38
Number of pages: 38 Posted: 05 Oct 2011
Francesco Audrino and Yujia Hu
University of St. Gallen and University of St. Gallen
Downloads 133 (215,467)
Citation 1

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High frequency data, Realized volatility forecasting, Downside risk, Leverage effect.

Accurate Short-Term Yield Curve Forecasting Using Functional Gradient Descent

University of St. Gallen, Department of Economics, Discussion Paper No. 2007-24
Number of pages: 51 Posted: 10 Jul 2007
Francesco Audrino and Fabio Trojani
University of St. Gallen and Swiss Finance Institute
Downloads 122 (231,188)
Citation 2

Abstract:

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Conditional mean and variance estimation, Filtered Historical Simulation, Functional

Accurate Short-Term Yield Curve Forecasting Using Functional Gradient Descent

Journal of Financial Econometrics, Vol. 5, Issue 4, pp. 591-623, 2007
Posted: 01 Jun 2009
Francesco Audrino and Fabio Trojani
University of St. Gallen and Swiss Finance Institute

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conditional mean and variance estimation, filtered historical simulation, functional gradient descent, multivariate CCC-GARCH models, term structure

25.

Oracle Properties, Bias Correction, and Inference of the Adaptive Lasso for Time Series Extremum Estimators

Number of pages: 38 Posted: 14 Oct 2013 Last Revised: 04 May 2015
Francesco Audrino and Lorenzo Camponovo
University of St. Gallen and University of St. Gallen
Downloads 119 (234,531)
Citation 4

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Adaptive lasso, Time series, Oracle properties, Finite sample inference, Taylor rule monetary policy model

26.

Extending the Logit Model with Midas Aggregation: The Case of US Bank Failures

Number of pages: 30 Posted: 16 Feb 2018
Francesco Audrino, Alexander Kostrov and Juan-Pablo Ortega
University of St. Gallen, University of St. Gallen and Universität Sankt Gallen
Downloads 91 (281,789)

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bank failures, prediction, mixed-data sampling, logit model

27.

Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process

University of St. Gallen, Department of Economics, Discussion Paper No. 2008-16
Number of pages: 37 Posted: 18 Aug 2008
Francesco Audrino and Marcelo C. Medeiros
University of St. Gallen and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 83 (298,462)

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Short-term interest rate, Regression tree, Smooth transition, Conditional variance, Bagging, Asymptotic theory

28.

Wild Multiplicative Bootstrap for M and GMM Estimators in Time Series

Number of pages: 30 Posted: 07 May 2019
Francesco Audrino, Lorenzo Camponovo and Constantin Roth
University of St. Gallen, University of St. Gallen and University of St. Gallen
Downloads 13 (563,693)

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M and GMM Estimators, Time Series, Wild Bootstrap

29.

Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M‐Estimators

Journal of Time Series Analysis, Vol. 39, Issue 2, pp. 111-128, 2018
Number of pages: 18 Posted: 14 Feb 2018
Francesco Audrino and Lorenzo Camponovo
University of St. Gallen and University of St. Gallen
Downloads 1 (652,327)
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Adaptive lasso, oracle properties, bias correction, bootstrap inference, Taylor rule monetary policy model

30.

Are Classical Option Pricing Models Consistent with Observed Option Second-Order Moments? Evidence from High-Frequency Data

Journal of Banking and Finance, Vol. 64, 2015, pp. 46-63
Posted: 27 Apr 2013 Last Revised: 16 Dec 2015
Francesco Audrino and Matthias R. Fengler
University of St. Gallen and University of St. Gallen - School of Economics and Political Science

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option pricing, high frequency data, realized variance, stochastic volatility

31.

The Stability of Factor Models of Interest Rates

Journal of Financial Econometrics, Vol. 3, No. 3, pp. 422-441, 2005
Posted: 29 Feb 2008
Francesco Audrino, Giovanni Barone-Adesi and Antonietta Mira
University of St. Gallen, University of Lugano and University of Insubria - Department of Economics

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factor analysis, FGD, robust regression, term structure

32.

Synchronizing Multivariate Financial Time Series

ETH Zurich, Seminar fur Statistik Research Report No. 97
Posted: 16 Oct 2002
Francesco Audrino and Peter Buhlmann
University of St. Gallen and Swiss Federal Institute of Technology Zurich (ETH)

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CCC-GARCH model, Expected shortfall, Multivariate time series, Likelihood estimation, Value at Risk