7
H index
5
i10 index
373
Citations
Francesco Violante : Citation Profile
Groupe des Écoles Nationales d'Économie et Statistique (GENES) (69% share) | RESEARCH PRODUCTION: 9 Articles 26 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2009 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Francesco Violante. | Is cited by:
| Cites to:
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Main data
Where Francesco Violante has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Banking & Finance | 2 |
| Journal of Econometrics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 2 |
| Working Papers / Center for Research in Economics and Statistics | 2 |
Recent works citing Francesco Violante (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2025 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper |
| 2024 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper |
| 2024 | Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24. Full description at Econpapers || Download paper |
| 2024 | Systemic risk monitoring model from the perspective of public information arrival. (2024). Zhu, Xingting ; Liu, Bin ; Yan, Han ; Wu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664. Full description at Econpapers || Download paper |
| 2024 | Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; An, Ran ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494. Full description at Econpapers || Download paper |
| 2024 | Empirical 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. Full description at Econpapers || Download paper |
| 2024 | A 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. Full description at Econpapers || Download paper |
| 2024 | Integrated 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. Full description at Econpapers || Download paper |
| 2024 | Tail 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. Full description at Econpapers || Download paper |
| 2024 | Carbon price interval prediction method based on probability density recurrence network and interval multi-layer perceptron. (2024). Tian, Lixin ; Wang, Minggang ; Xu, Hua ; Zhu, Mengrui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:636:y:2024:i:c:s0378437124000517. Full description at Econpapers || Download paper |
| 2025 | The 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. Full description at Econpapers || Download paper |
| 2025 | An 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. Full description at Econpapers || Download paper |
| 2024 | Realized 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. Full description at Econpapers || Download paper |
| 2024 | Factor 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. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
Works by Francesco Violante:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2012 | The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2012 | The 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 | |
| 2014 | The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options.(2014) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2015 | Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
| 2016 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2016 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2017 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2015 | Understanding volatility dynamics in the EU-ETS market In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 43 |
| 2015 | Understanding volatility dynamics in the EU-ETS market.(2015) In: Energy Policy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | article | |
| 2015 | Understanding volatility dynamics in the EU-ETS market.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 43 | paper | |
| 2016 | Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A Non-Structural Investigation of VIX Risk Neutral Density In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2019 | A non-structural investigation of VIX risk neutral density.(2019) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2017 | Variance swap payoffs, risk premia and extreme market conditions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Variance swap payoffs, risk premia and extreme market conditions.(2020) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas.(2021) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2023 | Forecasting financial markets with semantic network analysis in the COVID-19 crisis In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2021 | Forecasting financial markets with semantic network analysis in the COVID—19 crisis.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2009 | Consistent ranking of multivariate volatility models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 9 |
| 2009 | Understanding volatility dynamics in the EU-ETS market: lessons from the future In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 6 |
| 2010 | On the forecasting accuracy of multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 144 |
| 2010 | On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 144 | paper | |
| 2012 | On the forecasting accuracy of multivariate GARCH models.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 144 | article | |
| 2012 | Dynamic conditional correlation models for realized covariance matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 26 |
| 2012 | Volatility forecasts evaluation and comparison In: LIDAM Reprints CORE. [Citation analysis] | paper | 11 |
| 2013 | On loss functions and ranking forecasting performances of multivariate volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 107 |
| 2009 | On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 107 | paper | |
| 2020 | Dynamics of variance risk premia: A new model for disentangling the price of risk In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2020 | Pricing individual stock options using both stock and market index information In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team