Details about Maria Elvira Mancino

Access statistics for papers by Maria Elvira Mancino.

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

Short-id: pma1167

Working Papers

2023

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

2022

2. Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise
   Papers, arXiv.org View citations (1)
3. 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 View citations (5)

2020

4. Is the variance swap rate affine in the spot variance? Evidence from S&P500 data
   Papers, arXiv.org 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) View citations (4) (2020)

2014

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

2012

6. 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 View citations (7)
   See also Journal Article Estimation of quarticity with high-frequency data, Quantitative Finance, Taylor & Francis Journals (2012) View citations (14) (2012)

2011

7. 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

2010

8. 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

2009

9. 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

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

2004

11. 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)

Undated

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

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

2020

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

2019

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

2018

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

2015

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

2012

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

2011

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

2010

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

2008

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

2005

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

2003

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

2002

19. Fourier series method for measurement of multivariate volatilities
    Finance and Stochastics, 2002, 6, (1), 49-61 View citations (123)

2001

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

Edited books

2012

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

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

2. 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 View citations (1)

2004

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