Francesco VIOLANTE


Francesco VIOLANTE
CREST Permanent Member
Assistant Professor
Finance
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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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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.},
    }