Profile Page Prof. Ph.D. Francesco Audrino

Latest Additions (all)

1. Audrino, Francesco & Serwart, Jan: Yield Curve Trading Strategies Exploiting Sentiment Data. 2022.
2. Messmer, Marcial & Audrino, Francesco (2022) The Lasso and the Factor Zoo - Predicting Expected Returns in the Cross-Section. Forecasting, 4 (4). 969-1003. ISSN 2571-9394
3. Audrino, Francesco & Offner, Eric: The Impact of Macroeconomic News Sentiment on Interest Rates. , 2022,
4. Audrino, Francesco; Chassot, Jonathan; Huang, Chen; Knaus, Michael; Lechner, Michael & Ortega Lahuerta, Juan-Pablo (2022) How does post-earnings announcements sentiment affect firms' dynamics? New evidence from causal machine learning. Journal of Financial Econometrics, ISSN 1479-8409
5. De Giorgi, Enrico & Audrino, Francesco (2010) Applying Recent Developments in Computational Statistics to Behavioral Asset Pricing and Portfolio Selection [applied research project] .
   
6. Ballinari, Daniele; Audrino, Francesco & Sigrist, Fabio (2022) When does attention matter? The effect of investor attention on stock market volatility around news releases. International Review of Financial Analysis, 82 (July 2022). ISSN 1057-5219
7. Fengler, Matthias; Buncic, Daniel & Audrino, Francesco (2012) Analysis and models of cross asset dependency structures in high-frequency data [applied research project] .
   
8. Audrino, Francesco; Huitema, Robert & Ludwig, Markus (2021) An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device. Journal of Financial Econometrics, 19 (2). 291-312. ISSN 1479-8409
9. Audrino, Francesco; Chassot, Jonathan; Huang, Chen; Knaus, Michael; Lechner, Michael & Ortega Lahuerta, Juan-Pablo: How does post-earnings announcement sentiment affect firms' dynamics? New evidence from causal machine learning. , 2020,
10. Audrino, Francesco (2020) Strongest team favoritism in European national football: Myth or reality? International Journal of Sport Finance, (15). 137-152. ISSN 1558-6235

Most Viewed Items

	Item title	Views
1	Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics	4479
2	Estimating and predicting multivariate volatility thresholds in global stock markets	4420
3	Monetary policy regimes: implications for the yield curve and bond pricing	4258
4	Bond Risk Premia Forecasting : A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators	4143
5	Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent	4116
6	Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation	4065
7	Option strategies based on semi-parametric implied volatility surface prediction	3672
8	Splines for Financial Volatility	3588
9	Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data	3550
10	Forecasting correlations during the late-2000s financial crisis : The short-run component, the long-run component, and structural breaks	3492