Profile Page Prof. Ph.D. Francesco Audrino

Profile Picture
Name Francesco Audrino
Title Prof. Ph.D.
Function
Institute/School MS - Faculty of Mathematics and Statistics, SEPS - School of Economics and Political Science
Email address francesco.audrino@unisg.ch
Phone +41 71 224 2431
Homepage http://www.mathstat.unisg.ch/en/personenverzeichnis/44d9e9b2-abce-4a28-8cc8-130dbd98fcb2
LinkedIn https://ch.linkedin.com/in/francesco-audrino-4367b8a4
SSRN https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=333418
Main Focuses Computational Statistics, Financial Econometrics, Machine Learning
Education
Professional Career
Teaching Activities
Projects
Affiliations
Awards
Additional Information

Latest Additions (all)

  1. Item 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, ISSN 1057-5219
  2. Project Fengler, Matthias; Buncic, Daniel & Audrino, Francesco (2012) Analysis and models of cross asset dependency structures in high-frequency data [applied research project] .
  3. Item 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
  4. Item 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, [img]
  5. Item Audrino, Francesco (2020) Strongest team favoritism in European national football: Myth or reality? International Journal of Sport Finance, (15). 137-152. ISSN 1558-6235
  6. Item Audrino, Francesco; Sigrist, Fabio & Ballinari, Daniele (2020) The impact of sentiment and attention measures on stock market volatility. International Journal of Forecasting, 36 334-357. ISSN 0169-2070
  7. Item Audrino, Francesco; Kostrov, Alexander & Ortega, Juan-Pablo (2019) Predicting U.S. Bank Failures with MIDAS Logit Models. Journal of Financial and Quantitative Analysis, 54 (6). 2575-2603. ISSN 0022-1090
  8. Item Audrino, Francesco & Tetereva, Anastasija (2019) Sentiment spillover effects for US and European companies. Journal of Banking and Finance, 106 542-567. ISSN 0378-4266
  9. Item Audrino, Francesco; Huang, Chen & Ostap, Okhrin (2019) Flexible HAR Model for Realized Volatility. Studies in Nonlinear Dynamics and Econometrics, 23 (3). ISSN 1558-3708
  10. Item Audrino, Francesco; Camponovo, Lorenzo & Roth, Constantin (2019) Wild multiplicative bootstrap for M and GMM estimators in time series. Quantitative Finance and Economics, 3 (1). 165-186.
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