Aarhus University Seal / Aarhus Universitets segl

Francesco Violante

International Fellow

Profile photo

Francesco Violante

International Fellow

  • Institut for Økonomi
  • Institut for Økonomi - CREATES
Postaddresse:
Fuglesangs Allé 4
8210
Aarhus V
Danmark

E-mail: fr.violante@gmail.com

Publikationer

Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas

Grassi, S. & Violante, F., 1 mar. 2021, Aarhus: Institut for Økonomi, Aarhus Universitet, 49 s. (CREATES Research Papers; Nr. 2021-05).

Pricing individual stock options using both stock and market index information

Rombouts, J. V. K., Stentoft, L. & Violante, F., feb. 2020, I: Journal of Banking and Finance. 111, 16 s., 105727.

Dynamics of variance risk premia: A new model for disentangling the price of risk

Rombouts, J. V. K., Stentoft, L. & Violante, F., 2020, I: Journal of Econometrics. 217, 2, s. 312-334 23 s.

Variance swap payoffs, risk premia and extreme market conditions

Rombouts, J. V. K., Stentoft, L. & Violante, F., 2020, I: Econometrics and Statistics. 13, s. 106-124 19 s.

A Non-Structural Investigation of VIX Risk Neutral Density

Barletta, A., de Magistris, P. S. & Violante, F., 2019, I: Journal of Banking & Finance. 99, s. 1-20 20 s.

A Non-Structural Investigation of VIX Risk Neutral Density

Barletta, A., Santucci de Magistris, P. & Violante, F., 26 aug. 2017, Social Science Research Network (SSRN), 40 s.

Variance swap payoffs, risk premia and extreme market conditions

Rombouts, J. V. K., Stentoft, L. & Violante, F., 30 maj 2017, Aarhus: Institut for Økonomi, Aarhus Universitet, 46 s. (CREATES Research Papers; Nr. 2017-21).

Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability

Rombouts, J. V. K., Stentoft, L. & Violante, F., 7 mar. 2017, Aarhus: Institut for Økonomi, Aarhus Universitet, 72 s. (CREATES Research Papers; Nr. 2017-10).

Weak diffusion limits of dynamic conditional correlation models

Hafner, C. M., Laurent, S. & Violante, F., 2017, I: Econometric Theory. 33, 3, s. 691-716 26 s.

Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach

Barletta, A., Santucci de Magistris, P. & Violante, F., 4 jul. 2016, Aarhus: Institut for Økonomi, Aarhus Universitet, 41 s. (CREATES Research Papers; Nr. 2016-20).

Understanding volatility dynamics in the EU-ETS market

Sanin, M. E., Mansanet-Bataller, M. & Violante, F., 15 jan. 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 24 s. (CREATES Research Papers; Nr. 2015-04).

Weak diffusion limits of dynamic conditional correlation models

Hafner, C. M., Laurent, S. & Violante, F., 15 jan. 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 32 s. (CREATES Research Papers; Nr. 2015-03).

Understanding volatility dynamics in the EU-ETS market

Eugenia Sanin, M., Violante, F. & Mansanet-Bataller, M., 2015, I: Energy Policy. 82, 1, s. 321-331 11 s.

The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options

Rombouts, J., Stentoft, L. & Violante, F., 1 jan. 2014, I: International Journal of Forecasting. 30, 1, s. 78-98 21 s.

On loss functions and ranking forecasting performances of multivariate volatility models

Laurent, S., Rombouts, J. V. K. & Violante, F., 1 mar. 2013, I: Journal of Econometrics. 173, 1, s. 1-10 10 s.

On the forecasting accuracy of multivariate GARCH models

Laurent, S., Rombouts, J. V. K. & Violante, F., 1 sep. 2012, I: Journal of Applied Econometrics. 27, 6, s. 934-955 22 s.

Volatility Forecasts Evaluation and Comparison

Violante, F. & Laurent, S., 27 mar. 2012, Handbook of Volatility Models and Their Applications. John Wiley and Sons, s. 465-486 22 s.

Volatility forecasts evaluation and comparison

Laurent, S. & Violante, F., 1 jan. 2012, I: Wiley Interdisciplinary Reviews. Computational Statistics. 4, 1, s. 1-12 12 s.