Francesco Violante : Citation Profile

Are you Francesco Violante?

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

359

Citations

RESEARCH PRODUCTION:

9

Articles

26

Papers

RESEARCH ACTIVITY:

   14 years (2009 - 2023). See details.
   Cites by year: 25
   Journals where Francesco Violante has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 6 (1.64 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pvi290
   Updated: 2024-11-04    RAS profile: 2022-12-07    
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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 (18)

Laurent, Sébastien (14)

Asai, Manabu (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
Working Papers / Center for Research in Economics and Statistics2
Post-Print / HAL2

Recent works citing Francesco Violante (2024 and 2023)

YearTitle of citing document
2023Exploring the Antecedents of Consumer Confidence through Semantic Network Analysis of Online News. (2021). Ravazzolo, Francesco ; Guardabascio, B ; Grippa, F ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2105.04900.

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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2024Systemic 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.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2024Volatility 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.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Attention to oil prices and its impact on the oil, gold and stock markets and their covariance. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s014098832300141x.

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2023INE oil futures volatility prediction: Exchange rates or international oil futures volatility?. (2023). Li, Haibo ; Ma, Feng ; Lu, Xinjie ; Wang, Jianqiong. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004334.

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2023Does carbon emission trading scheme really improve the CO2 emission efficiency? Evidence from Chinas iron and steel industry. (2023). Lin, Boqiang ; Tan, Zhizhou ; Wu, Rongxin. In: Energy. RePEc:eee:energy:v:277:y:2023:i:c:s0360544223011374.

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2023Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033.

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2023Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing. (2023). Stentoft, Lars ; Rastegari, Javad ; Escobar-Anel, Marcos. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001382.

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2023Does climate risk matter for gold price volatility?. (2023). Zhang, Junchao ; Zhu, Jiaji. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009169.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669.

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2024Carbon 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.

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2023COVID-19 and stock returns: Evidence from the Markov switching dependence approach. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000089.

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2023Global economic uncertainty and the Chinese stock market: Assessing the impacts of global indicators. (2023). Cui, Can ; Zhang, Yueyan ; Bai, Jiancheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000752.

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2023.

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2023.

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2023The asymmetric effects of climate risk on higher-moment connectedness among carbon, energy and metals markets. (2023). Wu, Shan ; Zhou, Yuqin ; Rognone, Lavinia ; Liu, Zhenhua. In: Nature Communications. RePEc:nat:natcom:v:14:y:2023:i:1:d:10.1038_s41467-023-42925-9.

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2023Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1.

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2023Bayesian inference of multivariate-GARCH-BEKK models. (2023). Nur, Darfiana ; Livingston, G C. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01360-6.

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2023A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information. (2023). Li, Ziyang ; Chevallier, Julien ; M. I. M. Wahab, ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:60-75.

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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.
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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]		paper5
2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 5		paper
2017Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
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This paper has nother version. Agregated cites: 5		article
2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2015Understanding volatility dynamics in the EU-ETS market In: CREATES Research Papers.
[Full Text][Citation analysis]		paper42
2015Understanding volatility dynamics in the EU-ETS market.(2015) In: Energy Policy.
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This paper has nother version. Agregated cites: 42		article
2015Understanding volatility dynamics in the EU-ETS market.(2015) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 42		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.
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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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This paper has nother version. Agregated cites: 3		article
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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This paper has nother version. Agregated cites: 2		article
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas In: CREATES Research Papers.
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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.
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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: 3		paper
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.
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2010On the forecasting accuracy of multivariate GARCH models In: LIDAM Discussion Papers CORE.
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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 nother version. Agregated cites: 140		article
2012Dynamic conditional correlation models for realized covariance matrices In: LIDAM Discussion Papers CORE.
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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]		article101
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
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2020Dynamics of variance risk premia: A new model for disentangling the price of risk In: Journal of Econometrics.
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2020Pricing individual stock options using both stock and market index information In: Journal of Banking & Finance.
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