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Details about Francesco Violante

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Workplace:Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Francesco Violante.

Last updated 2019-05-14. Update your information in the RePEc Author Service.

Short-id: pvi290


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Working Papers

2017

  1. A Non-Structural Investigation of VIX Risk Neutral Density
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2019)
  2. Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  3. Variance swap payoffs, risk premia and extreme market conditions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  4. Weak Diffusion Limits of Dynamic Conditional Correlation Models
    Post-Print, HAL
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) Downloads
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017)

    See also Journal Article in Econometric Theory (2017)

2016

  1. Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2015

  1. Understanding volatility dynamics in the EU-ETS market
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (10)
    See also Journal Article in Energy Policy (2015)

2012

  1. Dynamic conditional correlation models for realized covariance matrices
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (14)
  2. The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012) Downloads

    See also Journal Article in International Journal of Forecasting (2014)
  3. Volatility forecasts evaluation and comparison
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)

2010

  1. On the Forecasting Accuracy of Multivariate GARCH Models
    Cahiers de recherche, CIRPEE Downloads View citations (7)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) Downloads View citations (21)

    See also Journal Article in Journal of Applied Econometrics (2012)

2009

  1. Consistent ranking of multivariate volatility models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (8)
  2. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
    Cahiers de recherche, CIRPEE Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2013)
  3. Understanding volatility dynamics in the EU-ETS market: lessons from the future
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (5)

Journal Articles

2019

  1. A non-structural investigation of VIX risk neutral density
    Journal of Banking & Finance, 2019, 99, (C), 1-20 Downloads
    See also Working Paper (2017)

2017

  1. WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
    Econometric Theory, 2017, 33, (03), 691-716 Downloads
    See also Working Paper (2017)

2015

  1. Understanding volatility dynamics in the EU-ETS market
    Energy Policy, 2015, 82, (C), 321-331 Downloads View citations (17)
    See also Working Paper (2015)

2014

  1. The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
    International Journal of Forecasting, 2014, 30, (1), 78-98 Downloads View citations (3)
    See also Working Paper (2012)

2013

  1. On loss functions and ranking forecasting performances of multivariate volatility models
    Journal of Econometrics, 2013, 173, (1), 1-10 Downloads View citations (53)
    See also Working Paper (2009)

2012

  1. On the forecasting accuracy of multivariate GARCH models
    Journal of Applied Econometrics, 2012, 27, (6), 934-955 View citations (63)
    See also Working Paper (2010)
 
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