Maria Elvira Mancino
Maria Elvira Mancino
Email verificata su dmd.unifi.it
TitoloCitata daAnno
Fourier series method for measurement of multivariate volatilities
P Malliavin, ME Mancino
Finance and Stochastics 6 (1), 49-61, 2002
2442002
A Fourier transform method for nonparametric estimation of multivariate volatility
P Malliavin, ME Mancino
The Annals of Statistics 37 (4), 1983-2010, 2009
1072009
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
ME Mancino, S Sanfelici
Computational Statistics & data analysis 52 (6), 2966-2989, 2008
832008
Asset pricing with a forward–backward stochastic differential utility
F Antonelli, E Barucci, ME Mancino
Economics Letters 72 (2), 151-157, 2001
302001
Estimating covariance via Fourier method in the presence of asynchronous trading and microstructure noise
ME Mancino, S Sanfelici
Journal of financial econometrics 9 (2), 367-408, 2011
272011
The price‐volatility feedback rate: an implementable mathematical indicator of market stability
E Barucci, P Malliavin, ME Mancino, R Renò, A Thalmaier
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003
242003
A comparison result for FBSDE with applications to decisions theory
F Antonelli, E Barucci, ME Mancino
Mathematical methods of operations research 54 (3), 407-423, 2001
212001
A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics
P Malliavin, ME Mancino, MC Recchioni
Japanese Journal of Mathematics 2 (1), 55-77, 2007
182007
Estimation of quarticity with high-frequency data
ME Mancino, S Sanfelici
Quantitative finance 12 (4), 607-622, 2012
172012
Dynamic principal component analysis of multivariate volatility via Fourier analysis
ME Mancino, R Renò
Applied Mathematical Finance 12 (2), 187-199, 2005
162005
Computation of volatility in stochastic volatility models with high frequency data
E Barucci, ME Mancino
International journal of theoretical and applied finance 13 (05), 767-787, 2010
132010
Optimal strategies in a risky debt context
D Dorobantu, M Elvira Mancino, M Pontier
Stochastics: An International Journal of Probability and Stochastics …, 2009
112009
Fourier spot volatility estimator: asymptotic normality and efficiency with liquid and illiquid high-frequency data
ME Mancino, MC Recchioni
PloS one 10 (9), e0139041, 2015
102015
Non linear feedback effects by hedging strategies
M Elvira Mancino, S Ogawa
Stochastic Processes and Applications to Mathematical Finance, 255-269, 2004
82004
A counter-example concerning a condition of Ogawa integrability
P Majer, ME Mancino
Séminaire de Probabilités XXXI, 198-206, 1997
71997
Free noise dilation of semigroups of countable state Markov processes
F Fagnola, M Mancino
Quantum Probability And Related Topics: QP—PQ (Volume VII), 149-163, 1992
71992
Fourier volatility forecasting with high-frequency data and microstructure noise
E Barucci, D Magno, ME Mancino
Quantitative Finance 12 (2), 281-293, 2012
62012
Fourier estimation method applied to forward interest rates
NL Liu, ME Mancino
JSIAM letters 4, 17-20, 2012
52012
Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology
ME Mancino, S Sanfelici
Financial Econometrics Modeling: Market Microstructure, Factor Models and …, 2011
52011
The Fourier estimation method with positive semi-definite estimators
J Akahori, NL Liu, ME Mancino, Y Yasuda
arXiv preprint arXiv:1410.0112, 2014
42014
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
Articoli 1–20