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Details about Maria Elvira Mancino

Workplace:Dipartimento di Scienze per l'Economia e l'Impresa (Department of Economics and Management), Scuola di Economia e Management (Florence School of Economics and Management), Università degli Studi di Firenze (University of Florence), (more information at EDIRC)

Access statistics for papers by Maria Elvira Mancino.

Last updated 2024-01-05. Update your information in the RePEc Author Service.

Short-id: pma1167


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Working Papers

2023

  1. Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix
    Papers, arXiv.org Downloads

2022

  1. Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise
    Papers, arXiv.org Downloads View citations (1)
  2. Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts
    Papers, arXiv.org Downloads View citations (5)

2020

  1. Is the variance swap rate affine in the spot variance? Evidence from S&P500 data
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data, Applied Mathematical Finance, Taylor & Francis Journals (2020) Downloads View citations (4) (2020)

2014

  1. The Fourier estimation method with positive semi-definite estimators
    Papers, arXiv.org Downloads

2012

  1. Estimation of Quarticity with High Frequency Data
    Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads View citations (7)
    See also Journal Article Estimation of quarticity with high-frequency data, Quantitative Finance, Taylor & Francis Journals (2012) Downloads View citations (14) (2012)

2011

  1. Corporate Debt Value with Switching Tax Benefits and Payouts
    Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads

2010

  1. Debt Value and Capital Structure with Firm's Net Cash Payouts
    Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads

2009

  1. Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology
    Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa View citations (1)
    See also Chapter Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology, Palgrave Macmillan Books, Palgrave Macmillan (2011) View citations (2) (2011)

2008

  1. Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise
    Economics Department Working Papers, Department of Economics, Parma University (Italy) Downloads View citations (6)

2004

  1. A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model
    Economics Department Working Papers, Department of Economics, Parma University (Italy) Downloads

Undated

  1. Pricing and Hedging Contingent Claims via Malliavin Calculus
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads

Journal Articles

2023

  1. Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options
    Risks, 2023, 11, (10), 1-25 Downloads

2020

  1. Identifying financial instability conditions using high frequency data
    Journal of Economic Interaction and Coordination, 2020, 15, (1), 221-242 Downloads View citations (2)
  2. Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
    Applied Mathematical Finance, 2020, 27, (4), 288-316 Downloads View citations (4)
    See also Working Paper Is the variance swap rate affine in the spot variance? Evidence from S&P500 data, Papers (2020) Downloads View citations (4) (2020)
  3. Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks
    Risks, 2020, 8, (4), 1-17 Downloads

2019

  1. Asymptotic results for the Fourier estimator of the integrated quarticity
    Decisions in Economics and Finance, 2019, 42, (2), 471-502 Downloads View citations (3)
  2. Quantitative developments in financial volatility—theory and practice
    Decisions in Economics and Finance, 2019, 42, (2), 319-320 Downloads
  3. Volatility and volatility-linked derivatives: estimation, modeling, and pricing
    Decisions in Economics and Finance, 2019, 42, (2), 321-349 Downloads View citations (3)

2018

  1. Spot volatility estimation using the Laplace transform
    Econometrics and Statistics, 2018, 6, (C), 22-43 Downloads View citations (3)

2015

  1. Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data
    PLOS ONE, 2015, 10, (9), 1-33 Downloads View citations (12)
  2. High-frequency volatility of volatility estimation free from spot volatility estimates
    Quantitative Finance, 2015, 15, (8), 1331-1345 Downloads View citations (14)

2012

  1. Estimation of quarticity with high-frequency data
    Quantitative Finance, 2012, 12, (4), 607-622 Downloads View citations (14)
    See also Working Paper Estimation of Quarticity with High Frequency Data, Working Papers - Mathematical Economics (2012) Downloads View citations (7) (2012)
  2. Fourier volatility forecasting with high-frequency data and microstructure noise
    Quantitative Finance, 2012, 12, (2), 281-293 Downloads
  3. The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model
    Economic Notes, 2012, 41, (3), 115-144 Downloads View citations (1)

2011

  1. Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise
    Journal of Financial Econometrics, 2011, 9, (2), 367-408 Downloads View citations (18)

2010

  1. COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA
    International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (05), 767-787 Downloads View citations (7)

2008

  1. Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
    Computational Statistics & Data Analysis, 2008, 52, (6), 2966-2989 Downloads View citations (43)

2005

  1. Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
    Applied Mathematical Finance, 2005, 12, (2), 187-199 Downloads View citations (2)

2003

  1. The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
    Mathematical Finance, 2003, 13, (1), 17-35 Downloads View citations (2)

2002

  1. Fourier series method for measurement of multivariate volatilities
    Finance and Stochastics, 2002, 6, (1), 49-61 Downloads View citations (122)

2001

  1. A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS
    International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (04), 603-620 Downloads
  2. A comparison result for FBSDE with applications to decisions theory
    Mathematical Methods of Operations Research, 2001, 54, (3), 407-423 Downloads
  3. Asset pricing with a forward-backward stochastic differential utility
    Economics Letters, 2001, 72, (2), 151-157 Downloads View citations (3)
  4. Asset pricing with endogenous aspirations
    Decisions in Economics and Finance, 2001, 24, (1), 21-39 Downloads

Edited books

2012

  1. Information asymmetry and equilibrium models in behavioral finance
    Economics Thesis from University Paris Dauphine, Paris Dauphine University Downloads

Chapters

2011

  1. Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology
    Palgrave Macmillan View citations (2)
    See also Working Paper Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa (2009) View citations (1) (2009)

2006

  1. Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications
    Chapter 1 in Stochastic Processes And Applications To Mathematical Finance, 2006, pp 1-34 Downloads View citations (1)

2004

  1. Non Linear Feedback Effects by Hedging Strategies
    Chapter 12 in Stochastic Processes And Applications To Mathematical Finance, 2004, pp 255-269 Downloads View citations (1)
 
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