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 1 1 212 1 2 12 1,130
Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise 0 0 1 8 1 4 11 26
Corporate Debt Value with Switching Tax Benefits and Payouts 0 0 0 37 4 8 23 141
Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology 0 0 0 30 1 2 10 208
Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise 0 0 0 120 0 2 5 303
Debt Value and Capital Structure with Firm's Net Cash Payouts 0 0 0 104 11 17 21 253
Estimation of Quarticity with High Frequency Data 0 0 1 73 0 0 15 183
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data 0 0 0 6 0 0 9 38
Pricing and Hedging Contingent Claims via Malliavin Calculus 0 0 0 321 0 0 5 418
Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix 0 0 0 31 0 1 10 34
The Fourier estimation method with positive semi-definite estimators 0 0 0 52 0 1 12 57
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts 0 0 0 70 0 1 14 36
Total Working Papers 0 1 3 1,064 18 38 147 2,827

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 0 0 0 4 1 2 12 30
A Taylor-type formula for pure jump additive processes and its application to risk minimization 0 0 0 0 0 0 0 0
A comparison result for FBSDE with applications to decisions theory 0 0 0 2 0 0 4 20
Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options 0 0 0 0 1 2 15 15
Asset pricing with a forward-backward stochastic differential utility 0 0 1 57 0 1 3 121
Asset pricing with endogenous aspirations 0 0 0 69 0 0 4 466
Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise 0 0 1 1 0 1 12 12
Asymptotic results for the Fourier estimator of the integrated quarticity 0 0 0 2 0 1 6 19
Beyond Average Hive Performance: Tail Risk Measurement in Italian Apiculture With Honey‐at‐Risk 0 0 0 0 0 0 0 0
COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA 0 0 0 3 0 0 7 15
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 0 0 0 35 0 1 6 113
Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise 0 0 1 22 0 3 12 94
Estimation of quarticity with high-frequency data 0 0 0 8 0 0 8 66
Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data 0 0 0 2 0 0 10 19
Fourier series method for measurement of multivariate volatilities 0 0 2 681 1 4 23 1,919
Fourier volatility forecasting with high-frequency data and microstructure noise 0 0 0 59 0 2 8 140
High-frequency volatility of volatility estimation free from spot volatility estimates 0 0 0 9 0 1 8 37
Identifying financial instability conditions using high frequency data 0 0 1 15 0 0 9 57
Identifying the number of latent factors of stochastic volatility models 0 0 0 0 0 0 9 9
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data 0 0 0 4 1 1 10 24
Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks 0 0 0 1 1 1 16 29
Quantitative developments in financial volatility—theory and practice 0 0 0 4 0 0 5 20
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise 0 0 0 86 0 1 13 221
Spot beta estimation with asynchronous noisy prices 0 0 7 7 0 2 18 20
Spot volatility estimation using the Laplace transform 0 0 0 17 0 0 16 69
Symmetric Positive Semi-Definite Fourier Estimator of Spot Covariance Matrix with High Frequency Data 0 0 1 1 0 2 12 12
The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability 0 0 1 45 0 3 11 131
The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model 0 0 0 15 3 13 27 85
Volatility and volatility-linked derivatives: estimation, modeling, and pricing 0 0 0 15 1 1 31 83
Total Journal Articles 0 0 15 1,164 9 42 315 3,846

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Capital structure with firm’s net cash payouts 0 0 0 0 0 0 4 4
Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology 0 0 0 0 0 1 10 13
Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications 0 0 0 8 0 0 7 35
Non Linear Feedback Effects by Hedging Strategies 0 0 0 4 0 0 4 25
Total Chapters 0 0 0 12 0 1 25 77

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Statistics updated 2026-10-11