Francesco Violante : Citation Profile


Are you Francesco Violante?

Aarhus Universitet

6

H index

4

i10 index

227

Citations

RESEARCH PRODUCTION:

8

Articles

18

Papers

RESEARCH ACTIVITY:

   11 years (2009 - 2020). See details.
   Cites by year: 20
   Journals where Francesco Violante has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 5 (2.16 %)

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   Permalink: http://citec.repec.org/pvi290
   Updated: 2020-08-01    RAS profile: 2020-06-08    
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Relations with other researchers


Works with:

Stentoft, Lars (5)

Hafner, Christian (5)

Laurent, Sébastien (4)

Santucci de Magistris, Paolo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Francesco Violante.

Is cited by:

McAleer, Michael (25)

Caporin, Massimiliano (21)

Laurent, Sébastien (12)

Clements, Adam (12)

Ruiz, Esther (10)

Asai, Manabu (10)

Weigand, Roland (10)

Bauwens, Luc (9)

Hotta, Luiz (9)

Storti, Giuseppe (6)

Voev, Valeri (5)

Cites to:

Bollerslev, Tim (22)

Hansen, Peter (14)

Engle, Robert (14)

Andersen, Torben (13)

Lunde, Asger (12)

Shephard, Neil (11)

Diebold, Francis (11)

Stentoft, Lars (9)

Ait-Sahalia, Yacine (8)

Barndorff-Nielsen, Ole (8)

Caporin, Massimiliano (7)

Main data


Where Francesco Violante has published?


Journals with more than one article published# docs
Journal of Banking & Finance2

Recent works citing Francesco Violante (2020 and 2019)


YearTitle of citing document
2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

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2018How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market. (2018). Gronwald, Marc ; Sattarhoff, Cristina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7102.

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2019DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS. In: CORE Discussion Papers. RePEc:cor:louvco:2019025.

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2017Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS. (2017). Wlodarczyk, Aneta. In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:129-145.

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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2017Dependence changes between the carbon price and its fundamentals: A quantile regression approach. (2017). Tan, Xue-Ping ; Wang, Xin-Yu . In: Applied Energy. RePEc:eee:appene:v:190:y:2017:i:c:p:306-325.

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2019Optimization and evaluation of a dispatch model for an integrated wind-photovoltaic-thermal power system based on dynamic carbon emissions trading. (2019). Wei, Yongmei ; Zhang, Yimei ; Mei, Shufan ; Ye, QI ; Ding, Yihong ; Tan, Qinliang. In: Applied Energy. RePEc:eee:appene:v:253:y:2019:i:c:115.

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2019Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Fadziski, Marcin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

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2020Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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2017Is information assimilated at announcements in the European carbon market?. (2017). Bredin, Don ; Muckley, Cal B ; Chen, Jiayuan . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:234-247.

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2018Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets. (2018). Uddin, Gazi ; Shahzad, Syed Jawad Hussain ; Hedstrom, Axel ; Hussain, Syed Jawad ; Hernandez, Jose Areola. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:35-46.

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2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

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2020Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219.

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2017Multiple bubbles in the European Union Emission Trading Scheme. (2017). Creti, Anna ; Joets, Marc. In: Energy Policy. RePEc:eee:enepol:v:107:y:2017:i:c:p:119-130.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2019Assessing the uncertainty in central banks’ inflation outlooks. (2019). Knüppel, Malte ; Schultefrankenfeld, Guido ; Knuppel, Malte. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1748-1769.

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2019Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply. (2019). Gronwald, Marc. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:97:y:2019:i:c:p:86-92.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2019Forecasting downside risk in China’s stock market based on high-frequency data. (2019). Xie, Nan ; Gong, XU ; Chen, Sicen ; Wang, Zongrun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:530-541.

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2019Uncertainty and oil volatility: New evidence. (2019). Cao, Xiang ; Zeng, Qing ; Mei, Dexiang ; Diao, Xiaohua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:155-163.

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2020Geopolitical risk, uncertainty and Bitcoin investment. (2020). Uddin, Gazi ; al Mamun, MD ; Kang, Sang Hoon ; Suleman, Muhammad Tahir. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317522.

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2020Volatility modeling and the asymmetric effect for China’s carbon trading pilot market. (2020). Zheng, Zeyu ; Fu, Yang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319004.

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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios, Carlos. In: Textos para discussão. RePEc:fgv:eesptd:505.

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2019Covariance Prediction in Large Portfolio Allocation. (2019). , Andre ; Hotta, Luiz K ; Zevallos, Mauricio ; Trucios, Carlos . In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:2:p:19-:d:229754.

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2017Optimization Model of an Efficient Collaborative Power Dispatching System for Carbon Emissions Trading in China. (2017). Tan, Qinliang ; Zhang, Yimei ; Ding, Yihong. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:9:p:1405-:d:111899.

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2019Research on Optimization Allocation Scheme of Initial Carbon Emission Quota from the Perspective of Welfare Effect. (2019). Zhang, Hongjie ; Wu, Qunli. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:11:p:2118-:d:236723.

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2019Forecasting the Carbon Price Using Extreme-Point Symmetric Mode Decomposition and Extreme Learning Machine Optimized by the Grey Wolf Optimizer Algorithm. (2019). Li, Yushuo ; Xu, Xiaolei ; Huo, Xuejing ; Zhou, Jianguo. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:5:p:950-:d:213213.

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2018Analyzing the Risks Embedded in Option Prices with rndfittool. (2018). Barletta, Andrea ; de Magistris, Paolo Santucci. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:28-:d:138299.

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2018How Do Verified Emissions Announcements Affect the Comoves between Trading Behaviors and Carbon Prices? Evidence from EU ETS. (2018). Guo, Jianfeng ; Liu, Yinpeng ; Feng, Lianyong ; Yang, Guang ; Su, Bin. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:9:p:3255-:d:169312.

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2019The Design of Green Supply Chains under Carbon Policies: A Literature Review of Quantitative Models. (2019). Mutlu, Fatih ; Pokharel, Shaligram ; Elomri, Adel ; Xu, Zhitao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:11:p:3094-:d:236230.

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2020A Novel Extended Higher-Order Moment Multi-Factor Framework for Forecasting the Carbon Price: Testing on the Multilayer Long Short-Term Memory Network. (2020). Zhang, Chen ; Yun, PO ; Wagan, Zulfiqar Ali ; Yang, Xianzi ; Wu, Yaqi. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:1869-:d:327195.

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2020China’s Carbon Pricing Based on Heterogeneous Tail Distribution. (2020). Wagan, Zulfiqar Ali ; Yun, PO ; Wu, Yaqi ; Yang, YU ; Zhang, Chen. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:7:p:2754-:d:339657.

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2019Dynamic analysis of implied risk neutral density. (2019). Boujelbene, Younes ; Aloulou, Abderrahmen. In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:12:y:2019:i:1:p:39-58.

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2019Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2709.

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2019Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences. (2019). Ferrara, Laurent ; Marsilli, Clement ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2710.

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2020Implicit Entropic Market Risk-Premium from Interest Rate Derivatives. (2020). Azevedo, R ; Arismendi-Zambrano, J. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n303-20.pdf.

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2019Factor High-Frequency-Based Volatility (HEAVY) Models. (2019). Xu, Wen ; Sheppard, Kevin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:17:y:2019:i:1:p:33-65..

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2019Taking the right course navigating the ERC universe. (2019). Orsini, Cesare ; Savona, Roberto. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:3:d:10.1057_s41260-019-00117-5.

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2018The erratic behaviour of the EU ETS on the path towards consolidation and price stability. (2018). Galan-Valdivieso, Federico ; Huete-Morales, Maria-Dolores ; Villar-Rubio, Elena. In: International Environmental Agreements: Politics, Law and Economics. RePEc:spr:ieaple:v:18:y:2018:i:5:d:10.1007_s10784-018-9411-3.

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2019Asymptotic Theory for Rotated Multivariate GARCH Models. (2019). Pauwels, Laurent ; McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Working Papers. RePEc:syb:wpbsba:2123/20178.

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2019Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings. (0000). van Dijk, Dick ; Lucas, Andre ; Barra, Istvan ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190013.

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2020Networks in risk spillovers: A multivariate GARCH perspective. (2020). Pelizzon, Loriana ; Billio, Monica ; Frattarolo, Lorenzo ; Caporin, Massimiliano. In: Working Papers. RePEc:ven:wpaper:2020:16.

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2019Flexible covariance dynamics, high‐frequency data, and optimal futures hedging. (2019). Lai, Yusheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1529-1548.

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2020From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS. (2019). Tietjen, Oliver ; Pahle, Michael ; Mauer, Eva-Maria ; Friedrich, Marina. In: EconStor Preprints. RePEc:zbw:esprep:196150.

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Works by Francesco Violante:


YearTitleTypeCited
2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers.
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2012The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options.(2012) In: CORE Discussion Papers.
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2014The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options.(2014) In: International Journal of Forecasting.
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2015Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: CORE Discussion Papers.
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2017Weak diffusion limits of dynamic conditional correlation models.(2017) In: CORE Discussion Papers RP.
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2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
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2015Understanding volatility dynamics in the EU-ETS market In: CREATES Research Papers.
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2015Understanding volatility dynamics in the EU-ETS market.(2015) In: Energy Policy.
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2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach In: CREATES Research Papers.
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2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability In: CREATES Research Papers.
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2017A Non-Structural Investigation of VIX Risk Neutral Density In: CREATES Research Papers.
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2019A non-structural investigation of VIX risk neutral density.(2019) In: Journal of Banking & Finance.
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2017Variance swap payoffs, risk premia and extreme market conditions In: CREATES Research Papers.
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2020Variance swap payoffs, risk premia and extreme market conditions.(2020) In: Econometrics and Statistics.
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2009Consistent ranking of multivariate volatility models In: CORE Discussion Papers.
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2009Understanding volatility dynamics in the EU-ETS market: lessons from the future In: CORE Discussion Papers.
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2010On the forecasting accuracy of multivariate GARCH models In: CORE Discussion Papers.
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2010On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche.
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2012On the forecasting accuracy of multivariate GARCH models.(2012) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 98
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2012Dynamic conditional correlation models for realized covariance matrices In: CORE Discussion Papers.
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2012Volatility forecasts evaluation and comparison In: CORE Discussion Papers RP.
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2013On loss functions and ranking forecasting performances of multivariate volatility models In: Journal of Econometrics.
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2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
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2020Pricing individual stock options using both stock and market index information In: Journal of Banking & Finance.
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