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Matteo Bonato
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
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