VIOLANTE Francesco

< Back to ILB Patrimony
Topics of productions
Affiliations
  • 2014 - 2015
    University of Bologna
  • 2012 - 2013
    Université Catholique de Louvain
  • 2012 - 2013
    Maastricht University
  • 2020
    Pricing individual stock options using both stock and market index information.
    Dynamics of variance risk premia: A new model for disentangling the price of risk.
    Variance swap payoffs, risk premia and extreme market conditions.
  • 2019
    A non-structural investigation of VIX risk neutral density.
  • 2017
    Weak Diffusion Limits of Dynamic Conditional Correlation Models.
  • 2016
    Weak diffusion limits of dynamic conditional correlation models.
  • 2015
    Understanding volatility dynamics in the EU-ETS market.
    The Global Burden of Cancer 2013.
  • 2013
    On loss functions and ranking forecasting performances of multivariate volatility models.

  • Pricing individual stock options using both stock and market index information.

    Jeroen v.k. ROMBOUTS, Lars STENTOFT, Francesco VIOLANTE
    Journal of Banking & Finance | 2020
    No summary available.
    More informations See the publication

  • Dynamics of variance risk premia: A new model for disentangling the price of risk.

    Jeroen v.k. ROMBOUTS, Lars STENTOFT, Francesco VIOLANTE
    Journal of Econometrics | 2020
    No summary available.
    More informations See the publication

  • Variance swap payoffs, risk premia and extreme market conditions.

    Jeroen v.k. ROMBOUTS, Lars STENTOFT, Francesco VIOLANTE
    Econometrics and Statistics | 2020
    No summary available.
    More informations See the publication

  • A non-structural investigation of VIX risk neutral density.

    Andrea BARLETTA, Paolo SANTUCCI DE MAGISTRIS, Francesco VIOLANTE
    Journal of Banking & Finance | 2019
    No summary available.
    More informations See the publication

  • Weak Diffusion Limits of Dynamic Conditional Correlation Models.

    Christian m. HAFNER, Sebastien LAURENT, Francesco VIOLANTE
    Econometric Theory | 2017
    No summary available.
    More informations

  • Weak diffusion limits of dynamic conditional correlation models.

    Christian m. HAFNER, Sebastien LAURENT, Francesco VIOLANTE
    Econometric Theory | 2016
    No summary available.
    More informations See the publication

  • Understanding volatility dynamics in the EU-ETS market.

    Maria EUGENIA SANIN, Francesco VIOLANTE, Maria MANSANET BATALLER
    Energy Policy | 2015
    We study the short-term price behavior of Phase 2 EU emission allowances. We model returns and volatility dynamics, and we demonstrate that a standard ARMAX-GARCH framework is inadequate for this modeling and that the gaussianity assumption is rejected due to a number of outliers. To improve the fitness of the model, we combine the underlying price process with an additive stochastic jump process. We improve the model's performance by introducing a time-varying jump probability that is explained by two variables: the daily relative change in the volume of transactions and the European Commission's announcements regarding the supply of permits. We show that (i) sharp increases in volume have led to increased volatility during the April 2005-December 2007 period but not for the period beginning in January 2008, and (ii) announcements induce jumps in the process that tend to increase volatility across both periods. Thus, authorities face a trade off between disseminating information effectively and promoting market stability. (c) 2015 Elsevier Ltd. All rights reserved.
    More informations See the publication

  • The Global Burden of Cancer 2013.

    Christina FITZMAURICE, Daniel DICKER, Amanda PAIN, Hannah HAMAVID, Maziar MORADI LAKEH, Michael f MACINTYRE, Christine ALLEN, Gillian HANSEN, Rachel WOODBROOK, Charles WOLFE, Randah r HAMADEH, Ami MOORE, Andrea WERDECKER, Bradford d GESSNER, Braden TE AO, Brian MCMAHON, Chante KARIMKHANI, Chuanhua YU, Graham s COOKE, David c SCHWEBEL, David o CARPENTER, David m PEREIRA, Denis NASH, Dhruv s KAZI, Diego DE LEO, Dietrich PLASS, Kingsley n UKWAJA, George d THURSTON, Kim YUN JIN, Edgar p SIMARD, Edward MILLS, Eun kee PARK, Ferran CATALA LOPEZ, Gabrielle DEVEBER, Carolyn GOTAY, Gulfaraz KHAN, H dean HOSGOOD, Itamar s SANTOS, Janet l LEASHER, Jasvinder SINGH, James LEIGH, Jost JONAS, Juan SANABRIA, Justin BEARDSLEY, Kathryn h JACOBSEN, Ken TAKAHASHI, Richard c FRANKLIN, Luca RONFANI, Marcella MONTICO, Luigi NALDI, Marcello TONELLI, Johanna GELEIJNSE, Max PETZOLD, Mark g SHRIME, Mustafa YOUNIS, Naohiro YONEMOTO, Nicholas BREITBORDE, Paul YIP, Farshad POURMALEK, Paulo a LOTUFO, Alireza ESTEGHAMATI, Graeme j HANKEY, Raghib ALI, Raimundas LUNEVICIUS, Reza MALEKZADEH, Robert DELLAVALLE, Robert WEINTRAUB, Robyn LUCAS, Roderick HAY, David ROJAS RUEDA, Ronny WESTERMAN, Sadaf g SEPANLOU, Sandra NOLTE, Scott PATTEN, Scott WEICHENTHAL, Semaw ferede ABERA, Seyed mohammad FERESHTEHNEJAD, Ivy SHIUE, Tim DRISCOLL, Tommi VASANKARI, Ubai ALSHARIF, Vafa RAHIMI MOVAGHAR, Vasiliy v VLASSOV, W s MARCENES, Wubegzier MEKONNEN, Yohannes adama MELAKU, Yuichiro YANO, Al ARTAMAN, Ismael CAMPOS, Jennifer MACLACHLAN, Ulrich MUELLER, Daniel KIM, Matias TRILLINI, Babak ESHRATI, Hywel c WILLIAMS, Kenji SHIBUYA, Rakhi DANDONA, Kinnari MURTHY, Benjamin COWIE, Azmeraw t AMARE, Carl abelardo ANTONIO, Carlos CASTANEDA ORJUELA, Coen h VAN GOOL, Francesco VIOLANTE, In hwan OH, Kedede DERIBE, Kjetil SOREIDE, Luke KNIBBS, Maia KERESELIDZE, Mark GREEN, Rosario CARDENAS, Nobhojit ROY, Taavi TILLMANN, Yongmei LI, Hans KRUEGER, Lorenzo MONASTA, Subhojit DEY, Sara SHEIKHBAHAEI, Nima HAFEZI NEJAD, G anil KUMAR, Chandrashekhar t SREERAMAREDDY, Lalit DANDONA, Haidong WANG, Stein emil VOLLSET, Ali MOKDAD, Joshua a SALOMON, Rafael LOZANO, Theo VOS, Mohammad FOROUZANFAR, Alan LOPEZ, Christopher MURRAY, Mohsen NAGHAVI, Taavi TILLMAN
    JAMA Oncology | 2015
    Importance: Cancer is among the leading causes of death worldwide. Current estimates of cancer burden in individual countries and regions are necessary to inform local cancer control strategies.\ud \ud Objective: To estimate mortality, incidence, years lived with disability (YLDs), years of life lost (YLLs), and disability-adjusted life-years (DALYs) for 28 cancers in 188 countries by sex from 1990 to 2013.\ud \ud Evidence: Review The general methodology of the Global Burden of Disease (GBD) 2013 study was used. Cancer registries were the source for cancer incidence data as well as mortality incidence (MI) ratios. Sources for cause of death data include vital registration system data, verbal autopsy studies, and other sources. The MI ratios were used to transform incidence data to mortality estimates and cause of death estimates to incidence estimates. Cancer prevalence was estimated using MI ratios as surrogates for survival data. YLDs were calculated by multiplying prevalence estimates with disability weights, which were derived from population-based surveys. YLLs were computed by multiplying the number of estimated cancer deaths at each age with a reference life expectancy. and DALYs were calculated as the sum of YLDs and YLLs.\ud \ud Findings: In 2013 there were 14.9 million incident cancer cases, 8.2 million deaths, and 196.3 million DALYs. Prostate cancer was the leading cause for cancer incidence (1.4 million) for men and breast cancer for women (1.8 million). Tracheal, bronchus, and lung (TBL) cancer was the leading cause for cancer death in men and women, with 1.
    More informations See the publication

  • On loss functions and ranking forecasting performances of multivariate volatility models.

    Sebastien LAURENT, Jeroen v.k. ROMBOUTS, Francesco VIOLANTE
    Journal of Econometrics | 2013
    The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is substituted by a proxy, the ordering implied by a loss function may be biased with respect to the intended one. We point out that the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized necessary and sufficient functional form for a class of non-metric distance measures of the Bregman type which ensure consistency of the ordering when the target is observed with noise. An application to three foreign exchange rates is provided. (C) 2012 Elsevier B.V. All rights reserved.
    More informations See the publication
Affiliations are detected from the signatures of publications identified in scanR. An author can therefore appear to be affiliated with several structures or supervisors according to these signatures. The dates displayed correspond only to the dates of the publications found. For more information, see https://scanr.enseignementsup-recherche.gouv.fr