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Details about Francesco Violante

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Workplace:École Nationale de la Statistique et de l'Admnistration Économique (ENSAE) (National School of Statistics and Economic Management), Groupe des Écoles Nationales d'Économie et Statistique (GENES) (National Economics and Statistics Schools Group), (more information at EDIRC)
Centre de Recherche en Économie et Statistique (CREST) (Center for Research in Economics and Statistics), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

Access statistics for papers by Francesco Violante.

Last updated 2022-12-07. Update your information in the RePEc Author Service.

Short-id: pvi290


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Working Papers

2023

  1. Forecasting financial markets with semantic network analysis in the COVID-19 crisis
    Papers, arXiv.org Downloads View citations (3)
    Also in Working Papers, Center for Research in Economics and Statistics (2021) Downloads

2021

  1. Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas
    Working Papers, Center for Research in Economics and Statistics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2021) Downloads
    CEIS Research Paper, Tor Vergata University, CEIS (2021) Downloads

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 A non-structural investigation of VIX risk neutral density, Journal of Banking & Finance, Elsevier (2019) Downloads View citations (3) (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
    See also Journal Article Variance swap payoffs, risk premia and extreme market conditions, Econometrics and Statistics, Elsevier (2020) Downloads View citations (2) (2020)
  4. Weak Diffusion Limits of Dynamic Conditional Correlation Models
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (4)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016) Downloads
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) Downloads View citations (1)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads
    Post-Print, HAL (2017) View citations (5)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (4)

    See also Journal Article WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS, Econometric Theory, Cambridge University Press (2017) Downloads View citations (4) (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 (37)
    Also in Post-Print, HAL (2015) View citations (34)

    See also Journal Article Understanding volatility dynamics in the EU-ETS market, Energy Policy, Elsevier (2015) Downloads View citations (39) (2015)

2012

  1. Dynamic conditional correlation models for realized covariance matrices
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (26)
  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 LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012) Downloads

    See also Journal Article The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options, International Journal of Forecasting, Elsevier (2014) Downloads View citations (7) (2014)
  3. Volatility forecasts evaluation and comparison
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (11)

2010

  1. On the Forecasting Accuracy of Multivariate GARCH Models
    Cahiers de recherche, CIRPEE Downloads View citations (10)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) Downloads View citations (22)

    See also Journal Article On the forecasting accuracy of multivariate GARCH models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (118) (2012)

2009

  1. Consistent ranking of multivariate volatility models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (9)
  2. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
    Cahiers de recherche, CIRPEE Downloads View citations (22)
    See also Journal Article On loss functions and ranking forecasting performances of multivariate volatility models, Journal of Econometrics, Elsevier (2013) Downloads View citations (91) (2013)
  3. Understanding volatility dynamics in the EU-ETS market: lessons from the future
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (6)

Journal Articles

2020

  1. Dynamics of variance risk premia: A new model for disentangling the price of risk
    Journal of Econometrics, 2020, 217, (2), 312-334 Downloads View citations (2)
  2. Pricing individual stock options using both stock and market index information
    Journal of Banking & Finance, 2020, 111, (C) Downloads View citations (2)
  3. Variance swap payoffs, risk premia and extreme market conditions
    Econometrics and Statistics, 2020, 13, (C), 106-124 Downloads View citations (2)
    See also Working Paper Variance swap payoffs, risk premia and extreme market conditions, CREATES Research Papers (2017) Downloads (2017)

2019

  1. A non-structural investigation of VIX risk neutral density
    Journal of Banking & Finance, 2019, 99, (C), 1-20 Downloads View citations (3)
    See also Working Paper A Non-Structural Investigation of VIX Risk Neutral Density, CREATES Research Papers (2017) Downloads View citations (1) (2017)

2017

  1. WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
    Econometric Theory, 2017, 33, (3), 691-716 Downloads View citations (4)
    See also Working Paper Weak Diffusion Limits of Dynamic Conditional Correlation Models, LIDAM Reprints ISBA (2017) View citations (4) (2017)

2015

  1. Understanding volatility dynamics in the EU-ETS market
    Energy Policy, 2015, 82, (C), 321-331 Downloads View citations (39)
    See also Working Paper Understanding volatility dynamics in the EU-ETS market, CREATES Research Papers (2015) Downloads View citations (37) (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 (7)
    See also Working Paper The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options, CREATES Research Papers (2012) Downloads (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 (91)
    See also Working Paper On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models, Cahiers de recherche (2009) Downloads View citations (22) (2009)

2012

  1. On the forecasting accuracy of multivariate GARCH models
    Journal of Applied Econometrics, 2012, 27, (6), 934-955 View citations (118)
    See also Working Paper On the Forecasting Accuracy of Multivariate GARCH Models, Cahiers de recherche (2010) Downloads View citations (10) (2010)
 
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