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 4 6 1,123
Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise 0 0 2 8 0 2 6 19
Corporate Debt Value with Switching Tax Benefits and Payouts 0 0 0 37 2 12 12 130
Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology 0 0 0 30 0 3 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 1 3 4 235
Estimation of Quarticity with High Frequency Data 0 0 1 73 4 8 12 180
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data 0 0 0 6 0 6 7 35
Pricing and Hedging Contingent Claims via Malliavin Calculus 0 0 0 321 2 2 2 415
Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix 0 0 0 31 1 2 5 26
The Fourier estimation method with positive semi-definite estimators 0 0 0 52 1 4 6 51
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 1 7 8 29
Total Working Papers 0 0 3 1,063 12 53 76 2,746

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 1 4 8 24
A comparison result for FBSDE with applications to decisions theory 0 0 0 2 0 2 2 18
Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options 0 0 0 0 1 4 4 4
Asset pricing with a forward-backward stochastic differential utility 0 0 1 57 0 1 3 120
Asset pricing with endogenous aspirations 0 0 0 69 1 1 1 463
Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise 0 0 0 0 0 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 0 3 4 12
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 0 0 0 35 2 5 5 112
Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise 0 0 0 21 2 4 6 86
Estimation of quarticity with high-frequency data 0 0 0 8 2 6 7 65
Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data 0 0 1 2 0 4 5 13
Fourier series method for measurement of multivariate volatilities 0 0 0 679 3 12 15 1,910
Fourier volatility forecasting with high-frequency data and microstructure noise 0 0 1 59 1 1 6 137
High-frequency volatility of volatility estimation free from spot volatility estimates 0 0 0 9 0 3 5 34
Identifying financial instability conditions using high frequency data 0 1 1 15 0 4 5 52
Identifying the number of latent factors of stochastic volatility models 0 0 0 0 0 4 8 8
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data 0 0 0 4 2 7 9 22
Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks 0 0 0 1 0 8 15 26
Quantitative developments in financial volatility—theory and practice 0 0 0 4 1 2 3 18
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise 0 0 1 86 1 8 15 218
Spot beta estimation with asynchronous noisy prices 1 3 4 4 1 6 11 11
Spot volatility estimation using the Laplace transform 0 0 0 17 0 7 11 64
Symmetric Positive Semi-Definite Fourier Estimator of Spot Covariance Matrix with High Frequency Data 1 1 1 1 2 5 6 6
The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability 0 0 0 44 0 3 9 126
The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model 0 0 0 15 1 9 11 68
Volatility and volatility-linked derivatives: estimation, modeling, and pricing 0 0 0 15 0 21 31 78
Total Journal Articles 2 5 11 1,156 21 141 217 3,716

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 1 5 7 9
Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications 0 0 1 8 0 3 4 31
Non Linear Feedback Effects by Hedging Strategies 0 0 0 4 1 3 5 24
Total Chapters 0 0 1 12 2 12 17 65

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Statistics updated 2026-03-04