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2022
Forecasting financial markets with semantic network analysis in the covid-19 crisis
Journal of forecasting, , 2022.
By A. Fronzetti Colladon, S. Grassi, F. Ravazzolo, and F. Violante@article{FronzettiColladon2022, author={Fronzetti Colladon, A. and Grassi, S. and Ravazzolo, F. and Violante, F.}, title={Forecasting financial markets with semantic network analysis in the COVID-19 crisis}, journal={Journal of Forecasting}, year={2022}, doi={10.1002/for.2936}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85144078913&doi=10.1002%2ffor.2936&partnerID=40&md5=9d7534e7a34c531bb52cc0db017c01fa}, publisher={John Wiley and Sons Ltd}, }
2020
Dynamics of variance risk premia: a new model for disentangling the price of risk
Journal of econometrics, vol. 217, iss. 2, pp. 312-334, 2020.
By J. V. K. Rombouts, L. Stentoft, and F. Violante@article{Rombouts2020312, author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.}, title={Dynamics of variance risk premia: A new model for disentangling the price of risk}, journal={Journal of Econometrics}, year={2020}, volume={217}, number={2}, pages={312-334}, doi={10.1016/j.jeconom.2019.12.006}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076853471&doi=10.1016%2fj.jeconom.2019.12.006&partnerID=40&md5=bf1b4723a0c7e7676f60edf4b05e382b}, publisher={Elsevier Ltd}, }
Pricing individual stock options using both stock and market index information
Journal of banking and finance, vol. 111, 2020.
By J. V. K. Rombouts, L. Stentoft, and F. Violante@article{Rombouts2020, author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.}, title={Pricing individual stock options using both stock and market index information}, journal={Journal of Banking and Finance}, year={2020}, volume={111}, doi={10.1016/j.jbankfin.2019.105727}, art_number={105727}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076827272&doi=10.1016%2fj.jbankfin.2019.105727&partnerID=40&md5=bce213a531596495a52f2059c11320c7}, publisher={Elsevier B.V.}, }
Variance swap payoffs, risk premia and extreme market conditions
Econometrics and statistics, vol. 13, pp. 106-124, 2020.
By J. V. K. Rombouts, L. Stentoft, and F. Violante@article{Rombouts2020106, author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.}, title={Variance swap payoffs, risk premia and extreme market conditions}, journal={Econometrics and Statistics}, year={2020}, volume={13}, pages={106-124}, doi={10.1016/j.ecosta.2019.05.003}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85068093458&doi=10.1016%2fj.ecosta.2019.05.003&partnerID=40&md5=80d32ecdc375592021fc41838ea7ec99}, publisher={Elsevier B.V.}, }
2019
A non-structural investigation of vix risk neutral density
Journal of banking and finance, vol. 99, pp. 1-20, 2019.
By A. Barletta, P. Santucci de Magistris, and F. Violante@article{Barletta20191, author={Barletta, A. and Santucci de Magistris, P. and Violante, F.}, title={A non-structural investigation of VIX risk neutral density}, journal={Journal of Banking and Finance}, year={2019}, volume={99}, pages={1-20}, doi={10.1016/j.jbankfin.2018.11.012}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85056771545&doi=10.1016%2fj.jbankfin.2018.11.012&partnerID=40&md5=e9cf42f3258f7a8807cd790b0b2e11e5}, publisher={Elsevier B.V.}, }