Large postdoc grant to Francesco Violante

Francesco Violante, Postdoc at the Department of Economics and Business and affiliated with CREATES, has received a grant of DKK 1,677,712 from The Danish Council for Independent Research for his project entitled “The Price of Risk”.

Francesco Violante
Photo: Aarhus BSS Communication

The Council received 93 applications for individual postdoctoral grants. The total amount applied for was DKK 179 million and 13 DFF-Individual Postdoctoral Grants were awarded of which one thus went to a researcher from the Department of Economics and Business.

Fransesco Violante’s project investigates the variation over time of the magnitude of price movements of financial assets (variance risk) and proposes a class of flexible structural time series models which allows to determine the market price of risk. By including interactions, non-linearities and discontinuities - essential to replicate complex dynamics - and linkages with macro-finance and business-cycle variables, it aims at providing a new tool to investigate changes in agents' behaviour over time as well as the transition between periods of economic expansion and recession.