| Fourier series method for measurement of multivariate volatilities P Malliavin, ME Mancino Finance and Stochastics 6 (1), 49-61, 2002 | 244 | 2002 |
| A Fourier transform method for nonparametric estimation of multivariate volatility P Malliavin, ME Mancino The Annals of Statistics 37 (4), 1983-2010, 2009 | 107 | 2009 |
| 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 | 83 | 2008 |
| Asset pricing with a forward–backward stochastic differential utility F Antonelli, E Barucci, ME Mancino Economics Letters 72 (2), 151-157, 2001 | 30 | 2001 |
| 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 | 27 | 2011 |
| 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 | 24 | 2003 |
| 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 | 21 | 2001 |
| 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 | 18 | 2007 |
| Estimation of quarticity with high-frequency data ME Mancino, S Sanfelici Quantitative finance 12 (4), 607-622, 2012 | 17 | 2012 |
| Dynamic principal component analysis of multivariate volatility via Fourier analysis ME Mancino, R Renò Applied Mathematical Finance 12 (2), 187-199, 2005 | 16 | 2005 |
| 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 | 13 | 2010 |
| Optimal strategies in a risky debt context D Dorobantu, M Elvira Mancino, M Pontier Stochastics: An International Journal of Probability and Stochastics …, 2009 | 11 | 2009 |
| 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 | 10 | 2015 |
| Non linear feedback effects by hedging strategies M Elvira Mancino, S Ogawa Stochastic Processes and Applications to Mathematical Finance, 255-269, 2004 | 8 | 2004 |
| A counter-example concerning a condition of Ogawa integrability P Majer, ME Mancino Séminaire de Probabilités XXXI, 198-206, 1997 | 7 | 1997 |
| 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 | 7 | 1992 |
| Fourier volatility forecasting with high-frequency data and microstructure noise E Barucci, D Magno, ME Mancino Quantitative Finance 12 (2), 281-293, 2012 | 6 | 2012 |
| Fourier estimation method applied to forward interest rates NL Liu, ME Mancino JSIAM letters 4, 17-20, 2012 | 5 | 2012 |
| 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 | 5 | 2011 |
| The Fourier estimation method with positive semi-definite estimators J Akahori, NL Liu, ME Mancino, Y Yasuda arXiv preprint arXiv:1410.0112, 2014 | 4 | 2014 |
