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Francesco Violante

Personal Details

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

Affiliation

(69%) École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)
Groupe des Écoles Nationales d'Économie et Statistique (GENES)

Paris, France
http://www.ensae.fr/
RePEc:edi:ensaefr (more details at EDIRC)

(30%) Centre de Recherche en Économie et Statistique (CREST)

Palaiseau, France
http://crest.science/
RePEc:edi:crestfr (more details at EDIRC)

(1%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet

Aarhus, Denmark
http://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," Working Papers 2021-05, Center for Research in Economics and Statistics.
  2. A. Fronzetti Colladon & S. Grassi & F. Ravazzolo & F. Violante, 2020. "Forecasting financial markets with semantic network analysis in the COVID-19 crisis," Papers 2009.04975, arXiv.org, revised Nov 2020.
  3. Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017. "Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability," CREATES Research Papers 2017-10, Department of Economics and Business Economics, Aarhus University.
  4. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2017. "A Non-Structural Investigation of VIX Risk Neutral Density," CREATES Research Papers 2017-15, Department of Economics and Business Economics, Aarhus University.
  5. Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017. "Variance swap payoffs, risk premia and extreme market conditions," CREATES Research Papers 2017-21, Department of Economics and Business Economics, Aarhus University.
  6. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
  7. Christian M. Hafner & Sebastien Laurent & Francesco Violante, 2015. "Weak diffusion limits of dynamic conditional correlation models," CREATES Research Papers 2015-03, Department of Economics and Business Economics, Aarhus University.
  8. Maria Eugenia Sanin & Maria Mansanet-Bataller & Francesco Violante, 2015. "Understanding volatility dynamics in the EU-ETS market," CREATES Research Papers 2015-04, Department of Economics and Business Economics, Aarhus University.
  9. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  10. BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco, 2012. "Dynamic conditional correlation models for realized covariance matrices," LIDAM Discussion Papers CORE 2012060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  11. LAURENT, Sébastien & VIOLANTE, Francesco, 2012. "Volatility forecasts evaluation and comparison," LIDAM Reprints CORE 2414, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  12. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010. "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche 1021, CIRPEE.
  13. LAURENT, Sebastien & ROMBOUTS, Jeroen V.K. & VIOLANTE, FRANCESCO, 2009. "Consistent ranking of multivariate volatility models," LIDAM Discussion Papers CORE 2009002, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  14. 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.
  15. SANIN, Maria Eugenia & VIOLANTE, Francesco, 2009. "Understanding volatility dynamics in the EU-ETS market: lessons from the future," LIDAM Discussion Papers CORE 2009024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

Articles

  1. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Pricing individual stock options using both stock and market index information," Journal of Banking & Finance, Elsevier, vol. 111(C).
  2. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, vol. 217(2), pages 312-334.
  3. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Variance swap payoffs, risk premia and extreme market conditions," Econometrics and Statistics, Elsevier, vol. 13(C), pages 106-124.
  4. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
  5. Hafner, Christian M. & Laurent, Sebastien & Violante, Francesco, 2017. "Weak Diffusion Limits Of Dynamic Conditional Correlation Models," Econometric Theory, Cambridge University Press, vol. 33(3), pages 691-716, June.
  6. Eugenia Sanin, María & Violante, Francesco & Mansanet-Bataller, María, 2015. "Understanding volatility dynamics in the EU-ETS market," Energy Policy, Elsevier, vol. 82(C), pages 321-331.
  7. 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.
  8. 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.
  9. 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, September.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (6) 2009-11-14 2010-05-29 2010-10-02 2012-02-15 2015-01-26 2021-03-08. Author is listed
  2. NEP-FOR: Forecasting (6) 2009-11-14 2010-05-29 2010-10-02 2012-02-15 2020-09-21 2021-03-08. Author is listed
  3. NEP-ETS: Econometric Time Series (5) 2010-05-29 2010-10-02 2012-02-15 2015-01-26 2021-03-08. Author is listed
  4. NEP-ORE: Operations Research (5) 2012-02-15 2015-01-26 2021-03-08 2021-03-08 2021-03-22. Author is listed
  5. NEP-CWA: Central & Western Asia (3) 2012-02-15 2021-03-08 2021-03-22
  6. NEP-BIG: Big Data (2) 2020-09-21 2021-03-08
  7. NEP-ENE: Energy Economics (2) 2010-03-28 2015-01-31
  8. NEP-ENV: Environmental Economics (2) 2010-03-28 2015-01-31
  9. NEP-EUR: Microeconomic European Issues (1) 2010-03-28
  10. NEP-FMK: Financial Markets (1) 2020-09-21
  11. NEP-RMG: Risk Management (1) 2020-09-21

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