Francesco Violante : Citation Profile

Groupe des Écoles Nationales d'Économie et Statistique (GENES) (69% share)
Centre de Recherche en Économie et Statistique (CREST) (30% share)
Aarhus Universitet (1% share)

7

H index

5

i10 index

388

Citations

RESEARCH PRODUCTION:

10

Articles

26

Papers

RESEARCH ACTIVITY:

   14 years (2009 - 2023). See details.
   Cites by year: 27
   Journals where Francesco Violante has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 6 (1.52 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pvi290
   Updated: 2026-01-17    RAS profile: 2025-10-11    
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Relations with other researchers

Works with:

Stentoft, Lars (3)

Ravazzolo, Francesco (2)

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

Is cited by:

Caporin, Massimiliano (22)

Bauwens, Luc (20)

Asai, Manabu (14)

Laurent, Sébastien (14)

Clements, Adam (13)

Jucknewitz, Roland (12)

Storti, Giuseppe (11)

Ruiz, Esther (10)

Hotta, Luiz (9)

Quaedvlieg, Rogier (8)

Hartl, Tobias (6)

Cites to:

Bollerslev, Tim (51)

Andersen, Torben (28)

Diebold, Francis (21)

Laurent, Sébastien (20)

Engle, Robert (18)

Hansen, Peter (16)

Wu, Liuren (15)

Lunde, Asger (14)

Shephard, Neil (13)

Rombouts, Jeroen (12)

Stentoft, Lars (11)

Main data

Where Francesco Violante has published?

Journals with more than one article published# docs
Journal of Econometrics2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL2
Working Papers / Center for Research in Economics and Statistics2

Recent works citing Francesco Violante (2025 and 2024)

YearTitle of citing document
2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2025The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2024How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

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2024THE PREDICTIVE POWER OF TECHNICAL ANALYSIS: EVIDENCE FROM THE GBP/USD EXCHANGE RATE. (2024). , Susana ; Teixeira, Fernando ; Lampreia, Miguel. In: Sustainable Regional Development Scientific Journal. RePEc:bfb:srdjou:2024-12_5.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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2025Estimation and forecast of carbon emission market volatility based on model averaging method. (2025). Wang, Qianchao ; Li, Yong. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s026499932400333x.

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2024Systemic risk monitoring model from the perspective of public information arrival. (2024). Wu, Yan ; Zhu, Xingting ; Yan, Han ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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2024Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2025Taking advantage of biased proxies for forecast evaluation. (2025). Ren, Roberto ; Buccheri, Giuseppe ; Vocalelli, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001228.

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2025Bregman model averaging for forecast combination. (2025). Liu, Chu-An ; Chen, Yi-Ting ; Su, Jiun-Hua. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001307.

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2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

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2024Forecasting oil futures returns with news. (2024). Wang, Yudong ; Pan, Zhiyuan ; Huang, Juan ; Zhong, Hao. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003141.

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2024A multiscale time-series decomposition learning for crude oil price forecasting. (2024). Li, Zhixi ; Jiang, Yuansheng ; Shi, Long ; Tan, Jinghua ; Zhang, Chuanhui. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004419.

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2025Geopolitical risk and vulnerability of energy markets. (2025). Liu, Zhenhua ; Ji, Qiang ; Ding, Zhihua ; Yuan, Xinting ; Wang, Yushu. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007643.

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2024Integrated prediction of carbon price in China based on heterogeneous structural information and wall-value constraints. (2024). Long, Ruyin ; Sun, Qingqing ; Chen, Jiawei. In: Energy. RePEc:eee:energy:v:306:y:2024:i:c:s0360544224022576.

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2025Multivariate range-based EGARCH models. (2025). Lambercy, Lyudmyla ; Kellard, Neil M ; Yan, Lili. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000705.

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2025Signal received? Carbon price and financial–environmental performance prioritization in EU ETS firms. (2025). Sanin, Mara-Eugenia ; Creti, Anna ; Eslahi, Ethan. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004351.

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2025Modeling gasoline price volatility. (2025). Ormos, Mihály ; Kamocsai, Lszl. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016866.

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2025The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets. (2025). Yfanti, Stavroula ; Wu, Jiaying ; Karanasos, Menelaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000066.

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2024Tail connectedness: Measuring the volatility connectedness network of equity markets during crises. (2024). Yao, Wenying ; Liu, Junli ; Cheng, Tingting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x2400249x.

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2024Carbon price interval prediction method based on probability density recurrence network and interval multi-layer perceptron. (2024). Wang, Minggang ; Zhu, Mengrui ; Tian, Lixin ; Xu, Hua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:636:y:2024:i:c:s0378437124000517.

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2025Regional emission dynamics in the phases of the EU Emissions Trading System. (2025). Mandel, Antoine ; Duenas, Marco ; Dueas, Marco. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:673:y:2025:i:c:s0378437125003322.

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2025Evaluation and mitigation of carbon emissions in energy industry. (2025). Bu, Siqi ; Ma, Runzhuo. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:212:y:2025:i:c:s1364032125000024.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2025An automated adaptive trading system for enhanced performance of emerging market portfolios. (2025). Tudor, Cristiana ; Sova, Robert. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00754-3.

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2024Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting. (2024). Opschoor, Anne ; Romero, Laura Capera. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240059.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2024Forecasting the volatility of crude oil futures: A time‐dependent weighted least squares with regularization constraint. (2024). Wang, Yudong ; Hao, Xianfeng ; Geng, Qianjie. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:309-325.

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2024Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?. (2024). Zhang, Yaojie ; Wang, Yudong ; Feng, Yuqing. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:567-582.

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2025Interval Forecasting of Carbon Price With a Novel Hybrid Multiscale Decomposition and Bootstrap Approach. (2025). Zhu, Bangzhu ; Wang, Ping ; Chevallier, Julien. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:376-390.

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2025Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers. (2025). Xu, Yongdeng. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1266-1279.

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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.
[Full Text][Citation analysis]		paper7
2012The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options.(2012) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
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 nother version. Agregated cites: 7		article
2015Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2017Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2015Understanding volatility dynamics in the EU-ETS market In: CREATES Research Papers.
[Full Text][Citation analysis]		paper48
2015Understanding volatility dynamics in the EU-ETS market.(2015) In: Energy Policy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		article
2015Understanding volatility dynamics in the EU-ETS market.(2015) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 48		paper
2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2017A Non-Structural Investigation of VIX Risk Neutral Density In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2019A non-structural investigation of VIX risk neutral density.(2019) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 3		article
2017Variance swap payoffs, risk premia and extreme market conditions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2020Variance swap payoffs, risk premia and extreme market conditions.(2020) In: Econometrics and Statistics.
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This paper has nother version. Agregated cites: 2		article
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas.(2021) In: CEIS Research Paper.
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This paper has nother version. Agregated cites: 0		paper
2023Forecasting financial markets with semantic network analysis in the COVID-19 crisis In: Papers.
[Full Text][Citation analysis]		paper6
2021Forecasting financial markets with semantic network analysis in the COVID—19 crisis.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 6		paper
2023Forecasting financial markets with semantic network analysis in the COVID‐19 crisis.(2023) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2009Consistent ranking of multivariate volatility models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper9
2009Understanding volatility dynamics in the EU-ETS market: lessons from the future In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper6
2010On the forecasting accuracy of multivariate GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper147
2010On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 147		paper
2012On the forecasting accuracy of multivariate GARCH models.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 147		article
2012Dynamic conditional correlation models for realized covariance matrices In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper26
2012Volatility forecasts evaluation and comparison In: LIDAM Reprints CORE.
[Citation analysis]		paper11
2013On loss functions and ranking forecasting performances of multivariate volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article113
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 113		paper
2020Dynamics of variance risk premia: A new model for disentangling the price of risk In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2020Pricing individual stock options using both stock and market index information In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2

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