Francesco Violante rewarded with the Sapere Aude Research Talent Grant 2013

The Danish Council for Independent Research has awarded Assistant Professor Francesco Violante the Sapere Aude Research Talent Grant 2013 of DKK 500.000.

2013.12.16 | Martin Hagelskjær Damsgaard

The Danish Council for Independent Research (DFF) has rewarded 39 younger researchers with the Sapere Aude Research Talent Grant 2013 of DKK 500.000. The grant is given as an extra recognition for researchers, who in the past year have received an individual postdoc scholarship from DFF.

In general, the grant is meant to increase mobility and internationalisation among young researchers in Denmark. 

In August 2013, Assistant Professor Francesco Violante from the Department of Economics and Business at School of Business and Social Sciences, Aarhus University and affiliated with CREATES, received a postdoc scholarship of DKK 1,677,712 from DFF for his project entitled “The Price of Risk.”

Read about Francesco Violante's research


Field of research 


Econometrics

 

Research project

Variance and correlation risk premia: Pricing the risk of change in the magnitude of financial assets price fluctuation

 

How did you become interested in your particular field of research?

Recently interest, both from practitioners and scholars, has grown around investigating and pricing the risk of changes in the magnitude of financial assets price fluctuation, i.e., variance and correlation risks, which, as demonstrated by the development and trading of new financial derivatives that allow speculating on or hedging these risks, is crucial for risk management, portfolio management and asset pricing. Also, as evidenced by the recent financial crisis, variance and correlation risks may exert important repercussions on the whole economy. The properties of these risks, their behavior over time and the links to economic determinants are still unclear and require further investigation, thus representing a new and challenging research opportunity.

 

What are the scientific challenges and perspectives in your project?

Due to the latent nature, the estimation of variance and correlation premia is inherently problematic. The ambiguity characterizing the empirical results available in the literature stems from the detection of spurious relationships and is largely due to a number of problems affecting the way the premia have been either defined, constructed, modeled and/or estimated. My goal is to build a class of flexible structural time series models for financial assets return price variability that aims at isolating as structural components the prices attached by the market to variance and correlation risks. Ambitious aspects of this project are the use of methodologies based on signal extraction technique and the inclusion of interactions, non-linearities and discontinuities - with emphasis on structural brakes, regime changes, cyclical components and trends, spillovers, etc. – essential to replicate complex dynamics and interdependencies not yet explored to date.

 

Which impact do you expect the Sapere Aude programme will have on your career as a researcher?

The Sapere Aude Research Talent Grant is a great personal achievement that clearly will consolidate and boost my academic career as a scholar. It will allow me to extend my stay at the CREATES research center, School of Business and Social Sciences, Aarhus University, for an additional period of 6 months, giving me the opportunity to expand considerably the horizons of my research.

 

City of birth and city of residence

Country and city of birth: Italy, Rome.
City of residence: Aarhus

  

Contact information

+45 8716 6076 (office), +45 2398 9734 (mobile), fviolante@creates.au.dk

 

Read about the other researchers from Aarhus University awarded with the Sapere Aude Research Talent Grant 2013

Awards