Details about Francesco Violante

Access statistics for papers by Francesco Violante.

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

Short-id: pvi290

Working Papers

2023

1. Forecasting financial markets with semantic network analysis in the COVID-19 crisis
   Papers, arXiv.org View citations (5)
   Also in Working Papers, Center for Research in Economics and Statistics (2021)

2021

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

2017

3. A Non-Structural Investigation of VIX Risk Neutral Density
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article A non-structural investigation of VIX risk neutral density, Journal of Banking & Finance, Elsevier (2019) View citations (3) (2019)
4. Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
5. Variance swap payoffs, risk premia and extreme market conditions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Variance swap payoffs, risk premia and extreme market conditions, Econometrics and Statistics, Elsevier (2020) View citations (2) (2020)
6. 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 (5)
   Also in Post-Print, HAL (2017) View citations (5)
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016)
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (5)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (1)
   See also Journal Article WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS, Econometric Theory, Cambridge University Press (2017) View citations (5) (2017)

2016

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

2015

8. Understanding volatility dynamics in the EU-ETS market
   Post-Print, HAL View citations (36)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) View citations (39)
   See also Journal Article Understanding volatility dynamics in the EU-ETS market, Energy Policy, Elsevier (2015) View citations (41) (2015)

2012

9. Dynamic conditional correlation models for realized covariance matrices
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (26)
10. 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
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012)
    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) View citations (7) (2014)
11. Volatility forecasts evaluation and comparison
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)

2010

12. On the Forecasting Accuracy of Multivariate GARCH Models
    Cahiers de recherche, CIRPEE View citations (10)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) 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 (120) (2012)

2009

13. Consistent ranking of multivariate volatility models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
14. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
    Cahiers de recherche, CIRPEE View citations (22)
    See also Journal Article On loss functions and ranking forecasting performances of multivariate volatility models, Journal of Econometrics, Elsevier (2013) View citations (99) (2013)
15. 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) 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 View citations (2)
2. Pricing individual stock options using both stock and market index information
   Journal of Banking & Finance, 2020, 111, (C) View citations (2)
3. Variance swap payoffs, risk premia and extreme market conditions
   Econometrics and Statistics, 2020, 13, (C), 106-124 View citations (2)
   See also Working Paper Variance swap payoffs, risk premia and extreme market conditions, CREATES Research Papers (2017) (2017)

2019

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

2017

5. WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
   Econometric Theory, 2017, 33, (3), 691-716 View citations (5)
   See also Working Paper Weak Diffusion Limits of Dynamic Conditional Correlation Models, LIDAM Reprints ISBA (2017) View citations (5) (2017)

2015

6. Understanding volatility dynamics in the EU-ETS market
   Energy Policy, 2015, 82, (C), 321-331 View citations (41)
   See also Working Paper Understanding volatility dynamics in the EU-ETS market, Post-Print (2015) View citations (36) (2015)

2014

7. The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
   International Journal of Forecasting, 2014, 30, (1), 78-98 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) (2012)

2013

8. On loss functions and ranking forecasting performances of multivariate volatility models
   Journal of Econometrics, 2013, 173, (1), 1-10 View citations (99)
   See also Working Paper On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models, Cahiers de recherche (2009) View citations (22) (2009)

2012

9. On the forecasting accuracy of multivariate GARCH models
   Journal of Applied Econometrics, 2012, 27, (6), 934-955 View citations (120)
   See also Working Paper On the Forecasting Accuracy of Multivariate GARCH Models, Cahiers de recherche (2010) View citations (10) (2010)