Maria Elvira Mancino
Maria Elvira Mancino
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Zitiert von
Zitiert von
Fourier series method for measurement of multivariate volatilities
P Malliavin, ME Mancino
Finance and Stochastics 6, 49-61, 2002
A Fourier transform method for nonparametric estimation of multivariate volatility
P Malliavin, ME Mancino
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
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
Fourier-Malliavin volatility estimation: Theory and practice
ME Mancino, MC Recchioni, S Sanfelici
Springer International Publishing, 2017
Asset pricing with a forward–backward stochastic differential utility
F Antonelli, E Barucci, ME Mancino
Economics Letters 72 (2), 151-157, 2001
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
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
Estimation of quarticity with high-frequency data
ME Mancino, S Sanfelici
Quantitative finance 12 (4), 607-622, 2012
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
High-frequency volatility of volatility estimation free from spot volatility estimates
S Sanfelici, IV Curato, ME Mancino
Quantitative Finance 15 (8), 1331-1345, 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
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
Dynamic principal component analysis of multivariate volatility via Fourier analysis
ME Mancino, R Renò
Applied Mathematical Finance 12 (2), 187-199, 2005
Fourier volatility forecasting with high-frequency data and microstructure noise
E Barucci, D Magno, ME Mancino
Quantitative Finance 12 (2), 281-293, 2012
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
Identifying financial instability conditions using high frequency data
ME Mancino, S Sanfelici
Journal of Economic Interaction and Coordination 15 (1), 221-242, 2020
Spot volatility estimation using the Laplace transform
IV Curato, ME Mancino, MC Recchioni
Econometrics and statistics 6, 22-43, 2018
Instantaneous liquidity rate, its econometric measurement by volatility feedback
P Malliavin, ME Mancino
Comptes rendus. Mathématique 334 (6), 505-508, 2002
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
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