Francesco Violante : Citation Profile


Are you Francesco Violante?

Aarhus Universitet

5

H index

4

i10 index

198

Citations

RESEARCH PRODUCTION:

6

Articles

18

Papers

RESEARCH ACTIVITY:

   8 years (2009 - 2017). See details.
   Cites by year: 24
   Journals where Francesco Violante has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 5 (2.46 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pvi290
   Updated: 2019-10-06    RAS profile: 2019-05-14    
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Relations with other researchers


Works with:

Hafner, Christian (5)

Laurent, Sébastien (4)

Stentoft, Lars (3)

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)

Weigand, Roland (10)

Asai, Manabu (10)

Ruiz, Esther (8)

Bauwens, Luc (7)

Hotta, Luiz (6)

Storti, Giuseppe (6)

Francq, Christian (5)

Cites to:

Bollerslev, Tim (19)

Hansen, Peter (14)

Andersen, Torben (13)

Engle, Robert (12)

Lunde, Asger (12)

Shephard, Neil (11)

Diebold, Francis (11)

Ait-Sahalia, Yacine (10)

Barndorff-Nielsen, Ole (8)

Caporin, Massimiliano (7)

Tauchen, George (7)

Main data


Where Francesco Violante has published?


Recent works citing Francesco Violante (2019 and 2018)


YearTitle of citing document
2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

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2019Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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

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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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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hallin, Marc ; Trucios-Maza, Carlos Cesar ; Hotta, Luis K ; Zevallos, Mauricio. 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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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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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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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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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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2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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2018Google Trends and reality: Do the proportions match?. (2018). Siliverstovs, Boriss ; Wochner, Daniel S. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:145:y:2018:i:c:p:1-23.

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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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2018Leverage effect, economic policy uncertainty and realized volatility with regime switching. (2018). Duan, Yinying ; Liu, Zhicao ; Zeng, Qing ; Chen, Wang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:148-154.

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2018Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39.

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2018Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?. (2018). Peng, Huan ; Diao, Xiaohua ; Mei, Dexiang ; Chen, Ruoxun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:78-85.

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2018Volatility forecasting: Global economic policy uncertainty and regime switching. (2018). Yu, Miao ; Song, Jinguo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:316-323.

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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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2018Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:104259.

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2018Asymptotic Theory for Rotated Multivariate GARCH Models. (2018). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu ; Pauwels, L ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111553.

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

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2018A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns. (2018). Clements, Adam ; O'Neill, Robert ; Becker, Ralf. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:7-:d:132320.

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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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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Post-Print. RePEc:hal:journl:hal-01980815.

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2018Loss functions for LGD model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: Working Papers. RePEc:hal:wpaper:halshs-01516147.

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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944656.

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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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2018Determinants of equity return correlations: a case study of the Amman Stock Exchange. (2018). Tantisantiwong, Nongnuch ; Power, David M ; Alomari, Mohammad . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0622-4.

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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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2018A latent dynamic factor approach to forecasting multivariate stock market volatility. (2018). Gribisch, Bastian . In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1278-6.

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2018Forecasting the volatility of crude oil futures using high-frequency data: further evidence. (2018). Ma, Feng ; He, Feng ; Chen, Wang ; Wei, YU. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1294-6.

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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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2018Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180005.

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2018Bayesian analysis of realized matrix-exponential GARCH models. (2018). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1804.

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2018Asymptotic Theory for Rotated Multivariate GARCH Models. (2018). McAleer, Michael ; Chang, Chia-Lin ; Pauwels, Laurent ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1827.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:2-2018.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2019From 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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This paper has another version. Agregated cites: 3
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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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This paper has another version. Agregated cites: 3
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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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This paper has another version. Agregated cites: 0
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2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
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This paper has another version. Agregated cites: 0
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
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This paper has another version. Agregated cites: 0
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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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This paper has another version. Agregated cites: 19
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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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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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This paper has another version. Agregated cites: 87
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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: 87
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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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This paper has another version. Agregated cites: 56
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