Access Statistics for Maria Elvira Mancino

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model 0 0 0 211 0 0 1 1,117
Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise 0 0 1 6 1 2 6 13
Corporate Debt Value with Switching Tax Benefits and Payouts 0 0 1 37 0 0 1 118
Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology 0 0 0 30 0 0 1 197
Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise 0 0 1 120 0 2 5 298
Debt Value and Capital Structure with Firm's Net Cash Payouts 0 0 0 104 0 1 2 231
Estimation of Quarticity with High Frequency Data 0 0 0 72 0 1 2 168
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data 0 0 0 6 0 1 4 28
Pricing and Hedging Contingent Claims via Malliavin Calculus 0 0 0 321 1 1 1 413
Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix 0 0 1 31 1 2 6 21
The Fourier estimation method with positive semi-definite estimators 0 0 0 52 0 1 1 45
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts 1 1 2 70 1 3 7 21
Total Working Papers 1 1 6 1,060 4 14 37 2,670

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS 1 1 1 3 3 5 6 16
A comparison result for FBSDE with applications to decisions theory 0 0 0 2 0 0 0 16
Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options 0 0 0 0 0 0 0 0
Asset pricing with a forward-backward stochastic differential utility 0 0 1 56 0 0 1 117
Asset pricing with endogenous aspirations 0 0 0 69 1 1 1 462
Asymptotic results for the Fourier estimator of the integrated quarticity 0 0 0 2 0 0 0 9
COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA 0 0 0 3 0 0 0 8
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 1 1 2 35 1 2 3 107
Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise 0 0 1 21 1 2 5 80
Estimation of quarticity with high-frequency data 0 0 0 8 1 1 2 58
Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data 0 0 0 1 0 1 3 8
Fourier series method for measurement of multivariate volatilities 1 2 5 679 2 3 11 1,895
Fourier volatility forecasting with high-frequency data and microstructure noise 0 0 0 58 0 0 0 131
High-frequency volatility of volatility estimation free from spot volatility estimates 0 0 1 9 0 0 3 29
Identifying financial instability conditions using high frequency data 0 0 3 14 1 2 9 47
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data 0 1 1 4 0 2 2 13
Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks 0 0 0 1 0 0 0 11
Quantitative developments in financial volatility—theory and practice 0 0 0 4 1 1 2 15
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise 0 0 0 85 1 2 6 203
Spot volatility estimation using the Laplace transform 0 0 0 17 0 0 1 53
The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability 0 0 1 44 0 1 3 117
The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model 0 0 0 15 0 0 0 57
Volatility and volatility-linked derivatives: estimation, modeling, and pricing 0 1 10 15 0 2 14 47
Total Journal Articles 3 6 26 1,145 12 25 72 3,499

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology 0 0 0 0 0 0 0 2
Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications 0 0 2 7 0 0 2 27
Non Linear Feedback Effects by Hedging Strategies 0 0 1 4 1 3 4 19
Total Chapters 0 0 3 11 1 3 6 48

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-03-03