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

  [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

  [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

  [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

  [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

  [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.},
  }