Publications
Articles
Forecasting financial markets with semantic network analysis in the COVID-19 crisis Fronzetti Colladon, A., Grassi, S., Ravazzolo, F., Violante, F., Journal of Forecasting (forthcoming)
Dynamics of variance risk premia: A new model for disentangling the price of risk Rombouts, J.V.K. Stentoft, L. Violante, F., Journal of Econometrics 217(2):312-334 (2020)
Pricing individual stock options using both stock and market index information Rombouts J.V.K., Stentoft L., Violante F., Journal of Banking & Finance 111:1-16 (2020)
Variance swap payoffs, risk premia and extreme market conditions Rombouts J.V.K., Stentoft L., Violante F., Econometrics and Statistics 13:106-124 (2020)
Retriving Risk-Neutral Densities Embedded in VIX Options: A Non-Structural Approach Barletta, A. Santucci de Magistris, P. Violante, F. , Journal of Banking and Finance 99:1-20 (2019)
Weak Diffusion Limits of Dynamic Conditional Correlation Models Hafner, C.M. Laurent, S. Violante, F., Econometric Theory 33(3):691-716 (2017)
Understanding volatility dynamics in the EU-ETS Market Sanin, M.E. Mansanet-Bataller, M. Violante, F., Energy Policy 82:321-331 (2015)
The Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options Rombouts, J.V.K. Stentoft, L. Violante, F., International Journal of Forecasting 30(1): 78-98 (2014)
On Loss Functions and Ranking of Multivariate Volatility Models Laurent, S. Rombouts, J.V.K. Violante, F., Journal of Econometrics 173(1): 1–10 (2013)
On the Forecasting Accuracy of Multivariate GARCH Model Laurent, S. Rombouts, J.V.K. Violante, F., Journal of Applied Econometrics 27(6): 934–955 (2012)
Volatility Forecasts Evaluation and Comparison Laurent, S. Violante, F., Wiley Interdisciplinary Reviews: Computational Statistics. 4(1): 1–12 (2011)
Book Chapters
Volatility Forecasts Evaluation and Comparison Laurent, S. Violante, F. In Handbook of Volatility Models and Their Applications, Bauwens, L. Hafner, C. and Laurent, S. ed. 465-486 (2012)
Multivariate GARCH Models Laurent, S. Violante, F. In Estimating and Forecasting ARCH Models using G@RCH, Laurent, S. ed. Timberlake Consultants Ltd (2011)
Submitted and In Progress
Grith, M. Santucci de Magistris, P. Vallarino, P. Violante, F. Common Factors in Large Panels of Option Prices
Flora M., Reno R., Schoenleber L., Violante F. Vix runs: do High Frequency traders spread flash crashes to the option market?
Grassi, S. Violante, F. Asset Allocation Using Time Varying Higher Order Moments via Importance Sampling
Violante, F. Multi-factor asset pricing for Cryptocurrencies
Rombouts J.V.K., Violante F. On the Cross Sectional Variation of Volatility Risk Premia in Large Diversified Portfolios
Permanent WP
Generalized Autoregressive Conditional Betas Grassi S., Violante F. (submitted)
Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas Grassi S., Violante F.
CAW-DCC: A Dynamic Model for Vast Covariance Matrices Bauwens, L. Storti, G. Violante, F. (permanent WP)
On the Boundaries of the Connectedness Index Santucci de Magistris, P. Violante, F. (permanent WP)