Francesco Audrino

University of St.Gallen — Switzerland

Economics, Econometrics and Finance · Social Sciences

16h-index1.1kcitations96works3.02yr avg
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Research Topics

Financial Risk and Volatility Modeling(56), Monetary Policy and Economic Impact(33), Market Dynamics and Volatility(27), Stochastic processes and financial applications(25), Complex Systems and Time Series Analysis(25)

Publications96 total

HARd to beat: The overlooked impact of rolling windows in the era of machine learning
International Journal of Forecasting·2025
Yield curve trading strategies exploiting sentiment data
The North American Journal of Economics and Finance·2024· 1 citedOpen Access
HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning
arXiv (Cornell University)·2024· 1 citedOpen Access
The impact of macroeconomic news sentiment on interest rates
International Review of Financial Analysis·2024· 14 citedOpen Access
Quantifying Uncertainty: A New Era of Measurement Through Large Language Models
SSRN Electronic Journal·2024· 1 citedOpen Access
Quantifying Uncertainty: A New Era of Measurement through Large Language Models
SSRN Electronic Journal·2024· 1 citedOpen Access
Hard to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning
SSRN Electronic Journal·2024· 3 citedOpen Access
The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section
Forecasting·2022· 4 citedOpen Access
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning
Journal of Financial Econometrics·2022· 1 cited
Strongest Team Favoritism in European National Football: Myth or Reality?
International Journal of Sport Finance·2020· 3 cited
Strongest Team Favoritism in European National Football: Myth or Reality?
International Journal of Sport Finance·2020· 3 cited
Predicting U.S. Bank Failures with MIDAS Logit Models
RePEc: Research Papers in Economics·2019
Sentiment spillover effects for US and European companies
Journal of Banking & Finance·2019· 55 citedOpen Access
Wild multiplicative bootstrap for M and GMM estimators in time series
Quantitative Finance and Economics·2019Open Access
Using Big Data to Improve Financial Forecasting
2019· 1 citedOpen Access
Wild Multiplicative Bootstrap for M and GMM Estimators in Time Series
SSRN Electronic Journal·2019· 1 citedOpen Access
Flexible HAR model for realized volatility
Studies in Nonlinear Dynamics and Econometrics·2018· 34 cited
Predicting U.S. Bank Failures with MIDAS Logit Models
Journal of Financial and Quantitative Analysis·2018· 42 cited
Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs
Journal of Quantitative Analysis in Sports·2018· 3 cited
Extending the Logit Model with Midas Aggregation: The Case of US Bank Failures
SSRN Electronic Journal·2018Open Access
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Frequent Co-authors

Fulvio Corsi(11), Fabio Trojani(6), Giovanni Barone‐Adesi(6), Peter Bühlmann(4), Kameliya Filipova(3), Lorenzo Camponovo(3), Anastasija Tetereva(2), Stefano Peluso(2), Enrico G. De Giorgi(2), Simon D. Knaus(1), Roberto Renò(1), Yujia Hu(1), Alexander Kostrov(1), Juan‐Pablo Ortega(1), Chen Huang(1), Ostap Okhrin(1), Dominik Colangelo(1), Robert Huitema(1), Markus Ludwig(1), Enrico De Giorgi(1)