Francesco Violante

Maastricht University - Department of Economics

Post doctoral researcher

P.O. Box 616

Maastricht, 6200 MD

Netherlands

  • Maastricht University - Department of Economics

SCHOLARLY PAPERS

3

DOWNLOADS

415

SSRN CITATIONS
Rank 40,666

SSRN RANKINGS

Top 40,666

in Total Papers Citations

6

CROSSREF CITATIONS

9

Scholarly Papers (3)

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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
Andrea Barletta, Paolo Santucci de Magistris and Francesco Violante
Nordea Bank, Aarhus University - CREATES and Maastricht University - Department of Economics
Downloads 291 (111,914)

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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
Sébastien Laurent, J. V. K. Rombouts and Francesco Violante
AMSE, HEC Montreal and Maastricht University - Department of Economics
Downloads 85 (313,802)
Citation 22

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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 (456,502)
Citation 1

Abstract:

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