Profile Page Prof. Ph.D. Francesco Audrino

Profile Picture
Name Francesco Audrino
Title Prof. Ph.D.
Institute/School MS - Faculty of Mathematics and Statistics, SEPS - School of Economics and Political Science
Email address
Phone +41 71 224 2431
Main Focuses Computational Statistics, Financial Econometrics, Machine Learning
Professional Career
Teaching Activities
Additional Information

Latest Additions (all)

  1. Project Fengler, Matthias; Buncic, Daniel & Audrino, Francesco (2012) Analysis and models of cross asset dependency structures in high-frequency data [applied research project] .
  2. 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
  3. 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]
  4. 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
  5. 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
  6. 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
  7. 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
  8. 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
  9. 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.
  10. Item Audrino, Francesco (2018) Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs. Journal of Quantitative Analysis in Sports, 14 (4). 185-199. ISSN 1559-0410