Francesco Violante

Francesco Violante is International Research Fellow of CREATES. He earned a BA from Bocconi University, Milan (Italy) and an MA from the Université catholique de Louvain, Louvain-la-Neuve (Belgium), majoring in financial markets and institutions management, and he earned a PhD in Economics from the Académie Louvain - Facultés universitaires Notre-Dame de la Paix, Namur (Belgium) in 2010. Since then, he has been postdoctoral research fellow at the Department of Quantitative Economics, Maastricht University (Netherlands) and invited professor at CORE - Université catholique de Louvain. He was Associate Professor at Department of Economics and Business Economics at Aarhus University 2013-2016.

His research interests focus on volatility modeling and forecasting, forecast evaluation and model selection, financial time series modeling and derivative pricing.

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Rombouts, J. V. K., Stentoft, L. & Violante, F. (2020). Dynamics of variance risk premia: A new model for disentangling the price of risk. Journal of Econometrics, 217(2), 312-334. https://doi.org/10.1016/j.jeconom.2019.12.006

Rombouts, J. V. K., Stentoft, L. & Violante, F. (2020). Pricing individual stock options using both stock and market index information. Journal of Banking and Finance, 111, Article 105727. https://doi.org/10.1016/j.jbankfin.2019.105727

Rombouts, J. V. K., Stentoft, L. & Violante, F. (2020). Variance swap payoffs, risk premia and extreme market conditions. Econometrics and Statistics, 13, 106-124. Advance online publication. https://doi.org/10.1016/j.ecosta.2019.05.003

Barletta, A., de Magistris, P. S. & Violante, F. (2019). A Non-Structural Investigation of VIX Risk Neutral Density. Journal of Banking & Finance, 99, 1-20. https://doi.org/10.1016/j.jbankfin.2018.11.012

Hafner, C. M., Laurent, S. & Violante, F. (2017). Weak diffusion limits of dynamic conditional correlation models. Econometric Theory, 33(3), 691-716. https://doi.org/10.1017/S0266466616000128

Eugenia Sanin, M., Violante, F. & Mansanet-Bataller, M. (2015). Understanding volatility dynamics in the EU-ETS market. Energy Policy, 82(1), 321-331. https://doi.org/10.1016/j.enpol.2015.02.024

Rombouts, J., Stentoft, L. & Violante, F. (2014). The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options. International Journal of Forecasting, 30(1), 78-98. https://doi.org/10.1016/j.ijforecast.2013.07.006

Laurent, S., Rombouts, J. V. K. & Violante, F. (2013). On loss functions and ranking forecasting performances of multivariate volatility models. Journal of Econometrics, 173(1), 1-10. https://doi.org/10.1016/j.jeconom.2012.08.004

Laurent, S., Rombouts, J. V. K. & Violante, F. (2012). On the forecasting accuracy of multivariate GARCH models. Journal of Applied Econometrics, 27(6), 934-955. https://doi.org/10.1002/jae.1248

Laurent, S. & Violante, F. (2012). Volatility forecasts evaluation and comparison. Wiley Interdisciplinary Reviews. Computational Statistics, 4(1), 1-12. https://doi.org/10.1002/wics.190