| Fourier series method for measurement of multivariate volatilities P Malliavin, ME Mancino Finance and Stochastics 6, 49-61, 2002 | 338 | 2002 |
| A Fourier transform method for nonparametric estimation of multivariate volatility P Malliavin, ME Mancino | 178 | 2009 |
| Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise ME Mancino, S Sanfelici Computational Statistics & data analysis 52 (6), 2966-2989, 2008 | 127 | 2008 |
| Estimating covariance via Fourier method in the presence of asynchronous trading and microstructure noise ME Mancino, S Sanfelici Journal of financial econometrics 9 (2), 367-408, 2011 | 46 | 2011 |
| Fourier-Malliavin volatility estimation: Theory and practice ME Mancino, MC Recchioni, S Sanfelici Springer International Publishing, 2017 | 43 | 2017 |
| Asset pricing with a forward–backward stochastic differential utility F Antonelli, E Barucci, ME Mancino Economics Letters 72 (2), 151-157, 2001 | 35 | 2001 |
| Estimation of quarticity with high-frequency data ME Mancino, S Sanfelici Quantitative finance 12 (4), 607-622, 2012 | 34 | 2012 |
| The price‐volatility feedback rate: an implementable mathematical indicator of market stability E Barucci, P Malliavin, ME Mancino, R Renò, A Thalmaier Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003 | 34 | 2003 |
| A comparison result for FBSDE with applications to decisions theory F Antonelli, E Barucci, ME Mancino Mathematical methods of operations research 54, 407-423, 2001 | 34 | 2001 |
| Fourier spot volatility estimator: asymptotic normality and efficiency with liquid and illiquid high-frequency data ME Mancino, MC Recchioni PloS one 10 (9), e0139041, 2015 | 31 | 2015 |
| High-frequency volatility of volatility estimation free from spot volatility estimates S Sanfelici, IV Curato, ME Mancino Quantitative Finance 15 (8), 1331-1345, 2015 | 26 | 2015 |
| Computation of volatility in stochastic volatility models with high frequency data E Barucci, ME Mancino International journal of theoretical and applied finance 13 (05), 767-787, 2010 | 21 | 2010 |
| A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics P Malliavin, ME Mancino, MC Recchioni Japanese Journal of Mathematics 2, 55-77, 2007 | 19 | 2007 |
| Dynamic principal component analysis of multivariate volatility via Fourier analysis ME Mancino, R Renò Applied Mathematical Finance 12 (2), 187-199, 2005 | 19 | 2005 |
| A fractional model for the COVID-19 pandemic: Application to Italian data E Alòs, ME Mancino, R Merino, S Sanfelici Stochastic Analysis and Applications 39 (5), 842-860, 2021 | 13 | 2021 |
| Fourier volatility forecasting with high-frequency data and microstructure noise E Barucci, D Magno, ME Mancino Quantitative Finance 12 (2), 281-293, 2012 | 13 | 2012 |
| Identifying financial instability conditions using high frequency data ME Mancino, S Sanfelici Journal of Economic Interaction and Coordination 15 (1), 221-242, 2020 | 12 | 2020 |
| Non linear feedback effects by hedging strategies M Elvira Mancino, S Ogawa Stochastic Processes and Applications to Mathematical Finance, 255-269, 2004 | 11 | 2004 |
| Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts G Toscano, G Livieri, ME Mancino, S Marmi Journal of Financial Econometrics 22 (1), 252-296, 2024 | 10 | 2024 |
| Spot volatility estimation using the Laplace transform IV Curato, ME Mancino, MC Recchioni Econometrics and statistics 6, 22-43, 2018 | 10 | 2018 |
