Matteo Bonato

University of Johannesburg - Department of Economics and Econometrics

Senior Research Associate

P.O. Box 524

Auckland Park 2006, Johannesburg

South Africa

Valdon Group GhmB

Zurich

Germany

SCHOLARLY PAPERS

12

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1,912

SSRN RANKINGS

Top 19,269

in Total Papers Citations

16

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Scholarly Papers (12)

1.

Modeling Fat Tails in Stock Returns: A Multivariate Stable-GARCH Approach

Number of pages: 34 Posted: 19 Sep 2007 Last Revised: 03 Oct 2009
Matteo Bonato
University of Johannesburg - Department of Economics and Econometrics
Downloads 529 (50,574)

Abstract:

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fat tails, stable Paretian distributions, multivariate statistics, Value-at-Risk, GARCH

2.

Robust Estimation of Skewness and Kurtosis in Distributions with Infinite Higher Moments

Number of pages: 26 Posted: 06 Apr 2010 Last Revised: 14 Apr 2010
Matteo Bonato
University of Johannesburg - Department of Economics and Econometrics
Downloads 424 (66,730)

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Skewness, Kurtosis, Fat Tails, Outliers

3.

Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model

Number of pages: 30 Posted: 12 Oct 2008 Last Revised: 15 Jun 2013
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 288 (103,444)

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realized volatility, forecasting, Value-at-Risk, Wishart

4.

Realized Correlations, Betas and Volatility Spillover in the Commodity Market: What Has Changed?

Number of pages: 17 Posted: 27 Feb 2015 Last Revised: 03 May 2016
Matteo Bonato
University of Johannesburg - Department of Economics and Econometrics
Downloads 153 (188,917)

Abstract:

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Commodities; Correlation; Beta; Volatility Spillover; Realized Measures

5.

Estimating the Degrees of Freedom of the Realized Volatility Wishart Autoregressive Model

Number of pages: 50 Posted: 23 Mar 2009 Last Revised: 03 Oct 2009
Matteo Bonato
University of Johannesburg - Department of Economics and Econometrics
Downloads 137 (206,651)

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Wishart process, realized volatility, outliers, cointegration

6.

Comovement, Index Investing and the Financialization of Commodities

Number of pages: 33 Posted: 05 Mar 2015 Last Revised: 02 Feb 2018
Matteo Bonato and Luca Taschini
University of Johannesburg - Department of Economics and Econometrics and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads 113 (240,750)

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Comovement; Commodity financialization; Indexing; Style effect; Realized Beta

7.

Risk Spillovers in International Equity Portfolios

Number of pages: 32 Posted: 17 Jul 2011 Last Revised: 11 Mar 2012
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 103 (255,368)

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Risk spillover, portfolio risk, currency risk, variance forecasting, international portfolio, Wishart distribution

8.

A Forecast Based Comparison of Restricted Realized Covariance Models

Number of pages: 35 Posted: 24 Feb 2010
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Johannesburg - Department of Economics and Econometrics
Downloads 69 (325,973)

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Realized covariance, WAR, HAR, multivariate volatility forecasts

9.

Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach

Number of pages: 32 Posted: 15 Jun 2016
University of Johannesburg - Department of Economics and Econometrics, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of the German Federal Armed Forces - Department of Economics
Downloads 63 (341,991)

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Gold futures returns, Realized volatility, Realized skewness, Forecasting, Quantile

10.

Investor Sentiment and Crash Risk in Safe Havens

Number of pages: 19 Posted: 14 Feb 2018
Laboratoire BESTMOD, University of Johannesburg - Department of Economics and Econometrics, Southern Illinois University Edwardsville - Department of Economics & Finance and University of Pretoria - Department of Economics
Downloads 32 (449,490)

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Investor Sentiment, Safe Haven Assets, Intraday Returns, Crash Risk

11.

The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Non‐Parametric Causality Tests

OPEC Energy Review, Vol. 42, Issue 2, pp. 93-106, 2018
Number of pages: 14 Posted: 18 Sep 2018
Matteo Bonato, Riza Demirer and Rangan Gupta
University of Johannesburg - Department of Economics and Econometrics, Southern Illinois University Edwardsville - Department of Economics & Finance and University of Pretoria - Department of Economics
Downloads 1 (638,107)
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12.

Risk Spillover in the Commodity Market: Is There Any Financialization Effect?

Posted: 27 Feb 2015
Matteo Bonato and Luca Taschini
University of Johannesburg - Department of Economics and Econometrics and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment

Abstract:

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Commodities; Financialization; Volatility Spillover