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
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Working Papers
2023
- Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix
Papers, arXiv.org
2022
- Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise
Papers, arXiv.org View citations (1)
- 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
- 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
- The Fourier estimation method with positive semi-definite estimators
Papers, arXiv.org
2012
- 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
- 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
- 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
- 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
- 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
- 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
- Pricing and Hedging Contingent Claims via Malliavin Calculus
Computing in Economics and Finance 1997, Society for Computational Economics
Journal Articles
2023
- Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options
Risks, 2023, 11, (10), 1-25
2020
- Identifying financial instability conditions using high frequency data
Journal of Economic Interaction and Coordination, 2020, 15, (1), 221-242 View citations (2)
- 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)
- Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks
Risks, 2020, 8, (4), 1-17
2019
- Asymptotic results for the Fourier estimator of the integrated quarticity
Decisions in Economics and Finance, 2019, 42, (2), 471-502 View citations (3)
- Quantitative developments in financial volatility—theory and practice
Decisions in Economics and Finance, 2019, 42, (2), 319-320
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
Decisions in Economics and Finance, 2019, 42, (2), 321-349 View citations (3)
2018
- Spot volatility estimation using the Laplace transform
Econometrics and Statistics, 2018, 6, (C), 22-43 View citations (3)
2015
- 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)
- High-frequency volatility of volatility estimation free from spot volatility estimates
Quantitative Finance, 2015, 15, (8), 1331-1345 View citations (14)
2012
- 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)
- Fourier volatility forecasting with high-frequency data and microstructure noise
Quantitative Finance, 2012, 12, (2), 281-293
- 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
- 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
- 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
- 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
- Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
Applied Mathematical Finance, 2005, 12, (2), 187-199 View citations (2)
2003
- The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
Mathematical Finance, 2003, 13, (1), 17-35 View citations (2)
2002
- Fourier series method for measurement of multivariate volatilities
Finance and Stochastics, 2002, 6, (1), 49-61 View citations (122)
2001
- A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS
International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (04), 603-620
- A comparison result for FBSDE with applications to decisions theory
Mathematical Methods of Operations Research, 2001, 54, (3), 407-423
- Asset pricing with a forward-backward stochastic differential utility
Economics Letters, 2001, 72, (2), 151-157 View citations (3)
- Asset pricing with endogenous aspirations
Decisions in Economics and Finance, 2001, 24, (1), 21-39
Edited books
2012
- Information asymmetry and equilibrium models in behavioral finance
Economics Thesis from University Paris Dauphine, Paris Dauphine University
Chapters
2011
- 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
- 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
- Non Linear Feedback Effects by Hedging Strategies
Chapter 12 in Stochastic Processes And Applications To Mathematical Finance, 2004, pp 255-269 View citations (1)
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