Francesco Violante

Maastricht University - Department of Economics

Post doctoral researcher

P.O. Box 616

Maastricht, 6200 MD

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS

413

SSRN CITATIONS
Rank 38,208

SSRN RANKINGS

Top 38,208

in Total Papers Citations

6

CROSSREF CITATIONS

9

Scholarly Papers (3)

1.

A Non-Structural Investigation of VIX Risk Neutral Density

Journal of Banking and Finance, Forthcoming
Number of pages: 45 Posted: 01 Apr 2017 Last Revised: 16 Nov 2018
Nordea Bank, Aarhus University - CREATES and Maastricht University - Department of Economics
Downloads 291 (106,812)

Abstract:

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VIX options, orthogonal expansions, risk-neutral moments, volatility jumps, volatility tail-risk

2.

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

CIRANO - Scientific Publications 2009s-45
Number of pages: 65 Posted: 17 Nov 2009 Last Revised: 21 Apr 2012
S├ębastien Laurent, J. V. K. Rombouts and Francesco Violante
AMSE, HEC Montreal and Maastricht University - Department of Economics
Downloads 83 (305,626)
Citation 22

Abstract:

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Volatility, multivariate GARCH, matrix norm, loss function, model confidence set

3.

The Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options

CIRANO - Scientific Publications 2012s-05
Number of pages: 41 Posted: 21 Apr 2012
J. V. K. Rombouts, Lars Stentoft and Francesco Violante
HEC Montreal, Department of Economics, University of Western Ontario and Maastricht University - Department of Economics
Downloads 39 (438,686)
Citation 1

Abstract:

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option pricing, economic loss, forecasting, multivariate GARCH, model confidence set