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 3 4 6 1,123
Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise 0 1 2 8 2 4 7 19
Corporate Debt Value with Switching Tax Benefits and Payouts 0 0 0 37 8 10 10 128
Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology 0 0 0 30 2 6 8 205
Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise 0 0 0 120 0 0 0 298
Debt Value and Capital Structure with Firm's Net Cash Payouts 0 0 0 104 0 2 3 234
Estimation of Quarticity with High Frequency Data 0 1 1 73 3 5 8 176
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data 0 0 0 6 6 6 7 35
Pricing and Hedging Contingent Claims via Malliavin Calculus 0 0 0 321 0 0 1 413
Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix 0 0 0 31 0 1 5 25
The Fourier estimation method with positive semi-definite estimators 0 0 0 52 1 3 5 50
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts 0 0 1 70 4 6 8 28
Total Working Papers 0 2 4 1,063 29 47 68 2,734

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 2 4 3 4 10 23
A comparison result for FBSDE with applications to decisions theory 0 0 0 2 2 2 2 18
Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options 0 0 0 0 1 3 3 3
Asset pricing with a forward-backward stochastic differential utility 0 1 1 57 1 2 3 120
Asset pricing with endogenous aspirations 0 0 0 69 0 0 1 462
Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise 0 0 0 0 5 7 7 7
Asymptotic results for the Fourier estimator of the integrated quarticity 0 0 0 2 0 0 5 14
COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA 0 0 0 3 2 4 4 12
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 0 0 1 35 2 3 4 110
Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise 0 0 0 21 0 2 5 84
Estimation of quarticity with high-frequency data 0 0 0 8 2 4 6 63
Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data 0 0 1 2 4 4 5 13
Fourier series method for measurement of multivariate volatilities 0 0 1 679 5 9 14 1,907
Fourier volatility forecasting with high-frequency data and microstructure noise 0 0 1 59 0 2 5 136
High-frequency volatility of volatility estimation free from spot volatility estimates 0 0 0 9 2 4 5 34
Identifying financial instability conditions using high frequency data 0 1 1 15 3 4 6 52
Identifying the number of latent factors of stochastic volatility models 0 0 0 0 2 8 8 8
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data 0 0 0 4 3 6 7 20
Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks 0 0 0 1 6 9 15 26
Quantitative developments in financial volatility—theory and practice 0 0 0 4 1 1 3 17
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise 0 0 1 86 5 7 15 217
Spot beta estimation with asynchronous noisy prices 2 2 3 3 4 5 10 10
Spot volatility estimation using the Laplace transform 0 0 0 17 3 10 11 64
Symmetric Positive Semi-Definite Fourier Estimator of Spot Covariance Matrix with High Frequency Data 0 0 0 0 1 4 4 4
The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability 0 0 0 44 2 3 9 126
The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model 0 0 0 15 6 8 10 67
Volatility and volatility-linked derivatives: estimation, modeling, and pricing 0 0 0 15 3 24 31 78
Total Journal Articles 2 4 12 1,154 68 139 208 3,695

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 1 1 1
Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology 0 0 0 0 3 4 6 8
Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications 0 0 1 8 3 3 4 31
Non Linear Feedback Effects by Hedging Strategies 0 0 0 4 1 2 5 23
Total Chapters 0 0 1 12 7 10 16 63

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Statistics updated 2026-02-12