Maria Elvira Mancino
Names
| first: |
Maria Elvira |
| last: |
Mancino |
Identifer
Contact
Affiliations
-
Università degli Studi di Firenze
/ Scuola di Economia e Management
/ Dipartimento di Scienze per l'Economia e l'Impresa
Research profile
author of:
- The Fourier estimation method with positive semi-definite estimators (RePEc:arx:papers:1410.0112)
by Jir^o Akahori & Nien-Lin Liu & Maria Elvira Mancino & Yukie Yasuda - Is the variance swap rate affine in the spot variance? Evidence from S&P500 data (RePEc:arx:papers:2004.04015)
by Maria Elvira Mancino & Simone Scotti & Giacomo Toscano - Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts (RePEc:arx:papers:2112.14529)
by Giacomo Toscano & Giulia Livieri & Maria Elvira Mancino & Stefano Marmi - Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise (RePEc:arx:papers:2209.08967)
by Maria Elvira Mancino & Tommaso Mariotti & Giacomo Toscano - Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix (RePEc:arx:papers:2304.04372)
by Jir^o Akahori & Nien-Lin Liu & Maria Elvira Mancino & Tommaso Mariotti & Yukie Yasuda - The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model (RePEc:bla:ecnote:v:41:y:2012:i:3:p:115-144)
by Flavia Barsotti & Maria Elvira Mancino & Monique Pontier - The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability (RePEc:bla:mathfi:v:13:y:2003:i:1:p:17-35)
by Emilio Barucci & Paul Malliavin & Maria Elvira Mancino & Roberto Renò & Anton Thalmaier - Information asymmetry and equilibrium models in behavioral finance (RePEc:dau:thesis:123456789/9075)
by Del Vigna, Matteo - Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise (RePEc:eee:csdana:v:52:y:2008:i:6:p:2966-2989)
by Mancino, M.E. & Sanfelici, S. - Asset pricing with a forward-backward stochastic differential utility (RePEc:eee:ecolet:v:72:y:2001:i:2:p:151-157)
by Antonelli, Fabio & Barucci, Emilio & Mancino, Maria Elvira - Spot volatility estimation using the Laplace transform (RePEc:eee:ecosta:v:6:y:2018:i:c:p:22-43)
by Curato, Imma Valentina & Mancino, Maria Elvira & Recchioni, Maria Cristina - Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology (RePEc:flo:wpaper:2009-09)
by Mancino Maria Elvira & Simona Sanfelici - Debt Value and Capital Structure with Firm's Net Cash Payouts (RePEc:flo:wpaper:2010-10)
by Flavia Barsotti & Maria Elvira Mancino & Monique Pontier - Estimation of Quarticity with High Frequency Data (RePEc:flo:wpaper:2011-06)
by Maria Elvira Mancino & Simona Sanfelici - Corporate Debt Value with Switching Tax Benefits and Payouts (RePEc:flo:wpaper:2011-10)
by Flavia Barsotti & Maria Elvira Mancino & Monique Pontier - Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options (RePEc:gam:jrisks:v:11:y:2023:i:10:p:183-:d:1264236)
by Federico Maglione & Maria Elvira Mancino - Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks (RePEc:gam:jrisks:v:8:y:2020:i:4:p:120-:d:444533)
by Maria Elvira Mancino & Simona Sanfelici - Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise (RePEc:oup:jfinec:v:9:y:2011:i:2:p:367-408)
by Maria Elvira Mancino & Simona Sanfelici - Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology (RePEc:pal:palchp:978-0-230-29810-1_1)
by Maria Elvira Mancino & Simona Sanfelici - A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model (RePEc:par:dipeco:2004-me01)
by M. E. Mancino & S. Ogawa & S. Sanfelici - Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise (RePEc:par:dipeco:2008-me01)
by S. Sanfelici & M. E. Mancino - Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data (RePEc:plo:pone00:0139041)
by Maria Elvira Mancino & Maria Cristina Recchioni - Pricing and Hedging Contingent Claims via Malliavin Calculus (RePEc:sce:scecf7:28)
by Emilio Barucci & Maria Elvira Mancino - Asset pricing with endogenous aspirations (RePEc:spr:decfin:v:24:y:2001:i:1:p:21-39)
by Fabio Antonelli & Emilio Barucci & Maria Elvira Mancino - Asymptotic results for the Fourier estimator of the integrated quarticity (RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00259-6)
by Giulia Livieri & Maria Elvira Mancino & Stefano Marmi - Quantitative developments in financial volatility—theory and practice (RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00270-x)
by Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang - Volatility and volatility-linked derivatives: estimation, modeling, and pricing (RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00271-w)
by Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang - Fourier series method for measurement of multivariate volatilities (RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61)
by Maria Elvira Mancino & Paul Malliavin - Identifying financial instability conditions using high frequency data (RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00253-6)
by Maria Elvira Mancino & Simona Sanfelici - A comparison result for FBSDE with applications to decisions theory (RePEc:spr:mathme:v:54:y:2001:i:3:p:407-423)
by Fabio Antonelli & Emilio Barucci & Maria Elvira Mancino - Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis (RePEc:taf:apmtfi:v:12:y:2005:i:2:p:187-199)
by Maria Elvira Mancino & Roberto Reno - Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (RePEc:taf:apmtfi:v:27:y:2020:i:4:p:288-316)
by M.E. Mancino & S. Scotti & G. Toscano - Fourier volatility forecasting with high-frequency data and microstructure noise (RePEc:taf:quantf:v:12:y:2012:i:2:p:281-293)
by Emilio Barucci & Davide Magno & Maria Elvira Mancino - Estimation of quarticity with high-frequency data (RePEc:taf:quantf:v:12:y:2012:i:4:p:607-622)
by Maria Elvira Mancino & Simona Sanfelici - High-frequency volatility of volatility estimation free from spot volatility estimates (RePEc:taf:quantf:v:15:y:2015:i:8:p:1331-1345)
by Simona Sanfelici & Imma Valentina Curato & Maria Elvira Mancino - A Taylor Formula To Price And Hedge European Contingent Claims (RePEc:wsi:ijtafx:v:04:y:2001:i:04:n:s021902490100119x)
by Maria Elvira Mancino - Computation Of Volatility In Stochastic Volatility Models With High Frequency Data (RePEc:wsi:ijtafx:v:13:y:2010:i:05:n:s0219024910005991)
by Emilio Barucci & Maria Elvira Mancino - Non Linear Feedback Effects by Hedging Strategies (RePEc:wsi:wschap:9789812702852_0012)
by Maria Elvira Mancino & Shigeyoshi Ogawa - Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications (RePEc:wsi:wschap:9789812774637_0001)
by Emilio Barucci & Paul Malliavin & Maria Elvira Mancino