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 9 1,127
Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise 0 0 2 8 2 2 8 21
Corporate Debt Value with Switching Tax Benefits and Payouts 0 0 0 37 3 5 15 133
Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology 0 0 0 30 0 0 8 205
Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise 0 0 0 120 2 2 2 300
Debt Value and Capital Structure with Firm's Net Cash Payouts 0 0 0 104 0 2 5 236
Estimation of Quarticity with High Frequency Data 0 0 1 73 0 5 13 181
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data 0 0 0 6 1 2 9 37
Pricing and Hedging Contingent Claims via Malliavin Calculus 0 0 0 321 2 4 4 417
Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix 0 0 0 31 3 6 10 31
The Fourier estimation method with positive semi-definite estimators 0 0 0 52 3 4 9 54
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 4 6 13 34
Total Working Papers 0 0 3 1,063 23 42 105 2,776

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 4 3 5 12 28
A comparison result for FBSDE with applications to decisions theory 0 0 0 2 1 2 4 20
Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options 0 0 0 0 4 7 10 10
Asset pricing with a forward-backward stochastic differential utility 0 0 1 57 0 0 3 120
Asset pricing with endogenous aspirations 0 0 0 69 2 3 3 465
Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise 0 1 1 1 2 4 11 11
Asymptotic results for the Fourier estimator of the integrated quarticity 0 0 0 2 4 4 8 18
COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA 0 0 0 3 1 2 6 14
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 0 0 0 35 0 2 5 112
Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise 0 0 0 21 3 6 10 90
Estimation of quarticity with high-frequency data 0 0 0 8 1 3 8 66
Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data 0 0 1 2 1 4 9 17
Fourier series method for measurement of multivariate volatilities 0 0 0 679 1 5 17 1,912
Fourier volatility forecasting with high-frequency data and microstructure noise 0 0 1 59 1 2 7 138
High-frequency volatility of volatility estimation free from spot volatility estimates 0 0 0 9 2 2 7 36
Identifying financial instability conditions using high frequency data 0 0 1 15 4 5 10 57
Identifying the number of latent factors of stochastic volatility models 0 0 0 0 0 1 9 9
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data 0 0 0 4 0 2 9 22
Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks 0 0 0 1 1 2 17 28
Quantitative developments in financial volatility—theory and practice 0 0 0 4 1 3 5 20
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise 0 0 0 86 2 3 16 220
Spot beta estimation with asynchronous noisy prices 1 3 6 6 3 7 17 17
Spot volatility estimation using the Laplace transform 0 0 0 17 3 5 16 69
Symmetric Positive Semi-Definite Fourier Estimator of Spot Covariance Matrix with High Frequency Data 0 1 1 1 0 5 9 9
The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability 0 0 0 44 1 1 10 127
The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model 0 0 0 15 3 5 15 72
Volatility and volatility-linked derivatives: estimation, modeling, and pricing 0 0 0 15 1 2 32 80
Total Journal Articles 1 5 13 1,159 45 92 285 3,787

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 3 3 4 4
Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology 0 0 0 0 1 4 10 12
Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications 0 0 1 8 4 4 8 35
Non Linear Feedback Effects by Hedging Strategies 0 0 0 4 1 2 6 25
Total Chapters 0 0 1 12 9 13 28 76

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Statistics updated 2026-05-06