Research

Research Interests

  • Time Series Analysis
  • Financial Econometrics
  • High-Frequency Finance
  • Volatility Modelling and Forecasting
  • Financialization of Commodities

Published Papers

  • "The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach" (with M. Bacilar, R. Demirer and R.Gupta), Resources Policy , 2017
  • "Risk spillovers in international equity portfolios" (with A. Ranaldo and M. Caporin), Journal of Empirical Finance , 2013
  • "A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices" (with A. Ranaldo and M. Caporin), European Journal of Finance, 2012
  • "Modeling fat tails in stock returns: a multivariate stable-GARCH approach", Computational Statistics , 2011
  • "Robust estimation of skewness and kurtosis in distributions with infinite higher moments", Finance Research Letters , 2010

Working Papers

  • "Comovement, Index Investing and Financialization in the Commodity Market" (with L. Taschini), 2018
  • "Realized Correlations, Betas and Volatility Spillover in the Commodity Market: What Has Changed?", 2018
  • "Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model" (with A. Ranaldo and M. Caporin), Swiss National Bank Working Paper , 2013
  • "Estimating the Degrees of Freedom of the Realized Volatility Wishart Autoregressive Model", 2009

Teaching

High-Frequency Realized Volatility Models
April 2018

Syllabus

Slides

Lecture Description R code
One Introduction to Volatility Models Lecture 1
Two Realized Volatility : Introduction Lecture 2
Three Mathematical Foundation of Realized Volatility Lecture 3
Four Properties of Realized Volatility Lecture 4
Five Empirical Application Lecture 5

Literature

R Library

Contact

Department of Economics and Econometrics
University of Johannesburg
Auckland Park, Johannesburg
South Africa

mabonato AT uj.ac.za


Valdon Group GmbH
Seilergraben 53
8001, Zürich
Switzerland

matteo.bonato AT valdon.ch


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Photos : Matteo Bonato, Pixabay and Skyline

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