Matteo Bonato

Thesis

Thesis Title:	Multivariate volatility modeling and forecasting with stable GARCH and Wishart Autoregressive models
Thesis Advisor:	Prof. Dr. Marc Paolella
Year of Graduation:	2009

Next Employment

Quantitaive Analyst at UBS, Zurich

Research Papers

Matteo Bonato: Estimating the Degrees of Freedom of the Realized Volatility Wishart Autoregressive Model, 2009, SSRN
Matteo Bonato: Robust Estimation of Skewness and Kurtosis in Distributions with Infinite Higher Moments, 2010, SSRN
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo: Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model, 2008, SSRN
Matteo Bonato: Modeling Fat Tails in Stock Returns: A Multivariate Stable-GARCH Approach, 2007, SSRN

Publications

M. Bonato, A. Ranaldo and M. Caporin: Risk Spillovers in International Equity Portfolios, Journal of Empirical Finance, 2013, Vol 24
M. Bonato, A. Ranaldo and M. Caporin: A Forecast-based Comparison of Restricted Wishart Autoregressive Models for Realized Covariance Matrices, European Journal of Finance, 2012, Vol 18, Issue 9
M. Bonato: Modeling Fat Tails in Stock Returns: A Multivariate Stable-GARCH Approach, Computational Statistics, 2012, Vol 27, Issue 3
M. Bonato: Robust Estimation of Skewness and Kurtosis in Distributions with Infinite Higher Moments, Finance Research Letters, 2011, Vol 8, Issue 2