Formation
- 2010 : Ph.D. in Econometrics, Facultés Universitaires Notre-Dame de la Paix (FUNDP), Belgium
- 2005 : Master, Economy, Economics, Université catholique de Louvain, Belgium
- 2004 : Bachelor, Business Administration, Finance, Bocconi University, Italy
Expériences Professionnelles
Expérience académique :
- 2017 - 2023, Associate Professor, ENSAE, , France
- 2016 - 2017, Associate Professor, Sapienza Università di Roma, Rome, Italy
- 2013 - 2016, Associate Professor, Aarhus University, , Denmark
- 2011 - 2012, Post-doctoral Researcher, University of Maastricht, , Netherlands
Prix Scientifiques et Awards
Awards
- 2016 : The price of risk: hedging against correlation changes, Danish Council of Independent Research
Articles publiés dans des revues à comité de lecture
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Violante F., Fronzetti Colladon A., Grassi S., Ravazzolo F., (2023). Forecasting financial markets with semantic network analysis in the COVID-19 crisis, Journal of Forecasting, 42 (5) 1187-1204.
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Violante F., Rombouts J., Stentoft L., (2020). Variance swap payoffs, risk premia and extreme market conditions, Econometrics and Statistics, 13 (-) 106-124.
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Violante F., Rombouts J., Stentoft L., (2020). Pricing individual stock options using both stock and market index information, Journal of Banking & Finance, 111 (-) 105727.
Afficher tout
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Violante F., Rombouts J., Stentoft L., (2020). Dynamics of Variance Risk Premia: A New Model for Disentangling the Price of Risk, Journal of Econometrics, 217 (2) 312-334.
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Violante F., Santucci de Magistris P., Barletta A., (2019). A non-structural investigation of VIX risk neutral density, Journal of Banking & Finance, 99 (-) 1-22.
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Violante F., Hafner C., Laurent S., (2017). Weak Diffusion Limits of Dynamic Conditional Correlation Models, Econometric Theory, 33 (3) 691-716.
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Violante F., Eugenia Sanin M., Mansanet-Bataller M., (2015). Understanding volatility dynamics in the EU-ETS market, Energy Policy, 82 (-) 321-331.
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Violante F., Rombouts J., Stentoft L., (2014). The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options, International Journal of Forecasting, 30 (1) 78-98.
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Violante F., Laurent S., Rombouts J., (2013). On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models, Journal of Econometrics, 173 (1) 1-10.
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Violante F., Laurent S., Rombouts J., (2012). On the Forecasting Accuracy of Multivariate Garch Models, Journal of Applied Econometrics, 27 (6) 934-955.
Chapitres de livres
- Violante F., Laurent S., (2012), Volatility forecasts evaluation and comparison, in: Handbook of Volatility Models and Their Applications.
Enseignement
Grande Ecole (Bachelor cycle) :
- Quantitative methods for economics and finance 3297
