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

  • University of Johannesburg - Department of Economics and Econometrics

  • Valdon Group GhmB

SCHOLARLY PAPERS

11

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TOTAL CITATIONS
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34

Scholarly Papers (11)

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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 642 (83,318)

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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 631 (85,133)
Citation 4

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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
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of Basel - Faculty of Business and Economics
Downloads 369 (163,073)
Citation 18

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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 205 (294,721)
Citation 2

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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 189 (317,551)
Citation 6

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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 University of Edinburgh Business School
Downloads 180 (331,874)
Citation 3

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

7.

Investor Sentiment and Crash Risk in Safe Havens

Number of pages: 19 Posted: 14 Feb 2018
Adnen Ben Nasr, Matteo Bonato, Riza Demirer and Rangan Gupta
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 161 (365,528)
Citation 1

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

8.

Risk Spillovers in International Equity Portfolios

Number of pages: 32 Posted: 17 Jul 2011 Last Revised: 11 Mar 2012
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of Basel - Faculty of Business and Economics
Downloads 159 (369,407)

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

9.

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

Number of pages: 32 Posted: 15 Jun 2016
Matteo Bonato, Riza Demirer, Rangan Gupta and Christian Pierdzioch
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 125 (447,439)

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

10.

A Forecast Based Comparison of Restricted Realized Covariance Models

Number of pages: 35 Posted: 24 Feb 2010
Massimiliano Caporin, Angelo Ranaldo and Matteo Bonato
University of Padua - Department of Statistical Sciences, University of Basel - Faculty of Business and Economics and University of Johannesburg - Department of Economics and Econometrics
Downloads 117 (470,498)

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Realized covariance, WAR, HAR, multivariate volatility forecasts

11.

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 University of Edinburgh Business School

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Commodities; Financialization; Volatility Spillover