Francesco Violante
Francesco Violante
ENSAE - CREST
Verified email at ensae.fr - Homepage
Title
Cited by
Cited by
Year
On the forecasting accuracy of multivariate GARCH models
S Laurent, JVK Rombouts, F Violante
Journal of Applied Econometrics 27 (6), 934-955, 2012
1962012
On loss functions and ranking forecasting performances of multivariate volatility models
S Laurent, JVK Rombouts, F Violante
Journal of Econometrics 173 (1), 1-10, 2013
131*2013
Understanding volatility dynamics in the EU-ETS market
ME Sanin, F Violante, M Mansanet-Bataller
Energy Policy 82, 321-331, 2015
78*2015
Dynamic conditional correlation models for realized covariance matrices
L Bauwens, G Storti, F Violante
CORE DP 60, 104-108, 2012
382012
Consistent ranking of multivariate volatility models
S Laurent, JVK Rombouts, F Violante
CORE, 2009
17*2009
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
J Rombouts, L Stentoft, F Violante
International Journal of Forecasting 30 (1), 78-98, 2014
102014
Volatility Forecasts Evaluation and Comparison
F Violante, S Laurent
Handbook of Volatility Models and Their Applications, 465-486, 2012
102012
A non-structural investigation of VIX risk neutral density
A Barletta, PS de Magistris, F Violante
Journal of Banking & Finance 99, 1-20, 2019
7*2019
Volatility forecasts evaluation and comparison
S Laurent, F Violante
Wiley Interdisciplinary Reviews: Computational Statistics 4 (1), 1-12, 2012
72012
G@ RCH 6.1
S Laurent, K Boudt, J Lahaye, JP Peters, J Rombouts, F Violante
United Kingdom: Timberlake Co, 2010
62010
Weak diffusion limits of dynamic conditional correlation models
CM Hafner, S Laurent, F Violante
Econometric Theory 33 (3), 691-716, 2017
52017
Dynamics of variance risk premia: A new model for disentangling the price of risk
JVK Rombouts, L Stentoft, F Violante
Journal of Econometrics 217 (2), 312-334, 2020
32020
Pricing individual stock options using both stock and market index information
JVK Rombouts, L Stentoft, F Violante
Journal of Banking & Finance 111, 105727, 2020
22020
Variance swap payoffs, risk premia and extreme market conditions
JVK Rombouts, L Stentoft, F Violante
CREATES Research Papers, 2017
22017
Forecasting financial markets with semantic network analysis in the COVID-19 crisis
AF Colladon, S Grassi, F Ravazzolo, F Violante
arXiv preprint arXiv:2009.04975, 2020
12020
Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas
S Grassi, F Violante
CEIS Working Paper, 2021
2021
Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability
JVK Rombouts, L Stentoft, F Violante
CREATES Research Papers, 2017
2017
The Value of Multivariate Model Sophistication
J Rombouts, L Stentoft, F Violante
International Journal of Forecasting, 2014
2014
Essays on Multivariate Volatility Forecasting
F Violante
FUNDP, 2010
2010
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Articles 1–19