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 1 1,118
Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise 0 1 1 7 1 2 6 15
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 0 0 1 197
Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise 0 0 1 120 0 0 5 298
Debt Value and Capital Structure with Firm's Net Cash Payouts 0 0 0 104 0 0 2 231
Estimation of Quarticity with High Frequency Data 0 0 0 72 0 0 1 168
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data 0 0 0 6 0 0 3 28
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 1 31 0 1 6 22
The Fourier estimation method with positive semi-definite estimators 0 0 0 52 0 0 1 45
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 6 21
Total Working Papers 0 1 4 1,061 1 4 33 2,674

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 1 3 0 1 6 17
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 0 0 1 462
Asymptotic results for the Fourier estimator of the integrated quarticity 0 0 0 2 0 3 3 12
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 0 0 2 35 0 0 3 107
Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise 0 0 0 21 0 0 3 80
Estimation of quarticity with high-frequency data 0 0 0 8 0 0 1 58
Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data 0 0 0 1 0 0 3 8
Fourier series method for measurement of multivariate volatilities 0 0 3 679 0 1 9 1,896
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 2 29
Identifying financial instability conditions using high frequency data 0 0 1 14 0 0 5 47
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data 0 0 1 4 0 0 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 0 0 1 15
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise 0 0 1 86 0 1 8 205
Spot volatility estimation using the Laplace transform 0 0 0 17 0 0 0 53
The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability 0 0 0 44 0 1 3 118
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 0 4 15 0 0 7 48
Total Journal Articles 0 0 15 1,146 0 7 58 3,508

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 0 4 0 1 4 20
Total Chapters 0 0 2 11 0 1 6 49

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Statistics updated 2025-07-04