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 1 2 1,119
Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise 1 1 2 8 2 2 6 17
Corporate Debt Value with Switching Tax Benefits and Payouts 0 0 0 37 0 0 0 118
Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology 0 0 0 30 3 5 5 202
Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise 0 0 0 120 0 0 2 298
Debt Value and Capital Structure with Firm's Net Cash Payouts 0 0 0 104 0 0 2 232
Estimation of Quarticity with High Frequency Data 1 1 1 73 1 4 5 172
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data 0 0 0 6 0 0 2 29
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 24
The Fourier estimation method with positive semi-definite estimators 0 0 0 52 0 2 3 47
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 0 0 4 22
Total Working Papers 2 2 4 1,063 6 15 37 2,693

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 1 2 9 20
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 1 1 1 57 1 1 2 119
Asset pricing with endogenous aspirations 0 0 0 69 0 0 1 462
Asymptotic results for the Fourier estimator of the integrated quarticity 0 0 0 2 0 1 5 14
COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA 0 0 0 3 1 1 1 9
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 0 0 1 35 0 0 2 107
Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise 0 0 0 21 0 1 4 82
Estimation of quarticity with high-frequency data 0 0 0 8 0 1 2 59
Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data 0 0 1 2 0 0 2 9
Fourier series method for measurement of multivariate volatilities 0 0 2 679 0 2 6 1,898
Fourier volatility forecasting with high-frequency data and microstructure noise 0 0 1 59 2 4 5 136
High-frequency volatility of volatility estimation free from spot volatility estimates 0 0 0 9 1 2 2 31
Identifying financial instability conditions using high frequency data 0 0 0 14 0 0 3 48
Identifying the number of latent factors of stochastic volatility models 0 0 0 0 4 4 4 4
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data 0 0 1 4 1 1 4 15
Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks 0 0 0 1 1 6 7 18
Quantitative developments in financial volatility—theory and practice 0 0 0 4 0 1 2 16
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise 0 0 1 86 0 3 9 210
Spot beta estimation with asynchronous noisy prices 0 1 1 1 0 3 5 5
Spot volatility estimation using the Laplace transform 0 0 0 17 3 4 4 57
Symmetric Positive Semi-Definite Fourier Estimator of Spot Covariance Matrix with High Frequency Data 0 0 0 0 1 1 1 1
The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability 0 0 0 44 0 3 7 123
The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model 0 0 0 15 0 2 2 59
Volatility and volatility-linked derivatives: estimation, modeling, and pricing 0 0 1 15 3 6 12 57
Total Journal Articles 1 2 12 1,151 19 49 101 3,575

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 1 2 4
Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications 0 1 1 8 0 1 1 28
Non Linear Feedback Effects by Hedging Strategies 0 0 0 4 0 0 5 21
Total Chapters 0 1 1 12 0 2 8 53

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Statistics updated 2025-12-06