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Francesco Violante

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This is information that was supplied by Francesco Violante in registering through RePEc. If you are Francesco Violante , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Francesco
Middle Name:
Last Name: Violante
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RePEc Short-ID: pvi290

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Affiliation

Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/
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Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (more details at EDIRC)

Works

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Working papers

  1. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," CORE Discussion Papers 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco, 2012. "Dynamic conditional correlation models for realized covariance matrices," CORE Discussion Papers 2012060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010. "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche 1021, CIRPEE.
  4. SANIN, Maria Eugenia & VIOLANTE, Francesco, 2009. "Understanding volatility dynamics in the EU-ETS market: lessons from the future," CORE Discussion Papers 2009024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," Cahiers de recherche 0948, CIRPEE.
  6. LAURENT, Sebastien & ROMBOUTS, Jeroen V.K. & VIOLANTE, FRANCESCO, 2009. "Consistent ranking of multivariate volatility models," CORE Discussion Papers 2009002, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. LAURENT, Sébastien & VIOLANTE, Francesco, . "Volatility forecasts evaluation and comparison," CORE Discussion Papers RP -2414, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

Articles

  1. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
  2. Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013. "On loss functions and ranking forecasting performances of multivariate volatility models," Journal of Econometrics, Elsevier, vol. 173(1), pages 1-10.
  3. Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012. "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 934-955, 09.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CWA: Central & Western Asia (1) 2012-02-15
  2. NEP-ECM: Econometrics (4) 2009-11-14 2010-05-29 2010-10-02 2012-02-15. Author is listed
  3. NEP-ENE: Energy Economics (1) 2010-03-28
  4. NEP-ENV: Environmental Economics (1) 2010-03-28
  5. NEP-ETS: Econometric Time Series (3) 2010-05-29 2010-10-02 2012-02-15. Author is listed
  6. NEP-EUR: Microeconomic European Issues (1) 2010-03-28
  7. NEP-FOR: Forecasting (4) 2009-11-14 2010-05-29 2010-10-02 2012-02-15. Author is listed
  8. NEP-ORE: Operations Research (1) 2012-02-15

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