Francesco Violante

Staff portrait: Francesco Violante

Francesco Violante is assistant professor at the Department and is affiliated with CREATES.

How long have you been employed at the Department of Economics and Business?
9 months

What is your background?
I did my Bachelor in Financial Market and Institutions Management at Bocconi University, Italy, my MA in Economics at Universite' Catholique de Louvain, Belgium, and my PhD at the Facultes Universitaires Notre Dame de la Paix, Belgium. Before coming here I was post doctoral fellow at Maastricht University, Netherlands, during the past 2 years.

What are your main areas of research?
Time series econometrics, financial econometrics and derivatives pricing.

What research projects are you working on at the moment?
At this moment I am working on a project dealing with the estimation of variance and correlation risk premia and the pricing of insurance-like contracts which provide hedging against sudden and sharp increase in assets price volatility.

What are you involved in teaching-wise at the moment?
I am involved in two courses. The first, in the fall semester, is Econometrics II, the second, in the spring semester, is entitled Quantitative, qualitative and limit dependent variables.

Are you planning to take part in any conferences or the like abroad in the near future?
I just came back from Berlin were I attended the annual meeting of the German Statistical Society. And in June I attended the symposium on Modeling Financial Risk with High Frequency data in Florence. In December I will attend the conference in Computational and Financial Econometrics in London, and in March a workshop on Risk Neutral Moments in Paris. I am also planning regular visits to the ESSEC Business School in Paris.
Are you expecting any visiting researchers from abroad in the near future (or have you had any visitors from abroad recently)?
I expect my co-author, Prof. Jeroen Rombouts, from ESSEC Business School, Paris, to come a few times over the year.

Are you cooperating with researchers from other departments at AU at the moment?
No

What do you do when you are not at work?
I spend most of my free time playing sports, like football, biking or running. During the (very) cold winter here in Denmark, when outdoor sports are not really an option, I do some fitness. For the rest I travel regularly and I spend a lot of time with friends.

Supplementary question from Damiana Rigamonti: Three..two..one.. What is the first thing that comes to your mind if somebody asks you about Denmark?
If I had to fall for the cliché' and satisfy the expectations of my interviewer (especially if male and foreigner) I would answer straight "the beautiful girls!". Jokes apart, there are many things that I would think of. If I think about the first impression I would say the cold (I know another cliché'!), but I got here in January and apparently in the middle of a rather harsh and long winter and that, I must admit, was a bit traumatizing. I like outdoor activities and I love exploring a new place when I move there, and if even a walk in the street starts to be not that enjoyable any more, well that starts playing on your mood pretty soon. Needless to say that it is not in a good way. But most importantly, and on a more personal side, what comes to my mind is definitely the people that I have met here. I got to know a bunch of great people that soon revealed to be special each in their own way, that I know I can count on, that are always there for a laugh, that whatever you say or propose, for as stupid or senseless it can be, always smile and no need to sell it, they are already "I'm in, let's go…let's do it!". People I feel very much alike and that I am glad I can have on my side.

Please give us your suggestion for the next department staff member to be presented:
Andrea Barletta

What specific supplementary question would you like him to answer?
What impressed you the most and what did you hate the most about Denmark (in the sense of culture, places, weather, people, work environment...your choice) since you got here?

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