Fourier series method for measurement of multivariate volatilities P Malliavin, ME Mancino Finance and Stochastics 6, 49-61, 2002 | 335 | 2002 |
A Fourier transform method for nonparametric estimation of multivariate volatility P Malliavin, ME Mancino | 172 | 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 | 119 | 2008 |
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 | 46 | 2011 |
Fourier-Malliavin volatility estimation: Theory and practice ME Mancino, MC Recchioni, S Sanfelici Springer International Publishing, 2017 | 42 | 2017 |
Asset pricing with a forward–backward stochastic differential utility F Antonelli, E Barucci, ME Mancino Economics Letters 72 (2), 151-157, 2001 | 36 | 2001 |
A comparison result for FBSDE with applications to decisions theory F Antonelli, E Barucci, ME Mancino Mathematical methods of operations research 54, 407-423, 2001 | 34 | 2001 |
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 | 33 | 2003 |
Estimation of quarticity with high-frequency data ME Mancino, S Sanfelici Quantitative finance 12 (4), 607-622, 2012 | 32 | 2012 |
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 | 30 | 2015 |
High-frequency volatility of volatility estimation free from spot volatility estimates S Sanfelici, IV Curato, ME Mancino Quantitative Finance 15 (8), 1331-1345, 2015 | 26 | 2015 |
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 | 20 | 2010 |
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, 55-77, 2007 | 19 | 2007 |
Dynamic principal component analysis of multivariate volatility via Fourier analysis ME Mancino, R Renò Applied Mathematical Finance 12 (2), 187-199, 2005 | 18 | 2005 |
A fractional model for the COVID-19 pandemic: Application to Italian data E Alòs, ME Mancino, R Merino, S Sanfelici Stochastic Analysis and Applications 39 (5), 842-860, 2021 | 13 | 2021 |
Fourier volatility forecasting with high-frequency data and microstructure noise E Barucci, D Magno, ME Mancino Quantitative Finance 12 (2), 281-293, 2012 | 13 | 2012 |
Identifying financial instability conditions using high frequency data ME Mancino, S Sanfelici Journal of Economic Interaction and Coordination 15 (1), 221-242, 2020 | 12 | 2020 |
Spot volatility estimation using the Laplace transform IV Curato, ME Mancino, MC Recchioni Econometrics and statistics 6, 22-43, 2018 | 10 | 2018 |
Instantaneous liquidity rate, its econometric measurement by volatility feedback P Malliavin, ME Mancino Comptes rendus. Mathématique 334 (6), 505-508, 2002 | 10 | 2002 |
A counter-example concerning a condition of Ogawa integrability P Majer, ME Mancino Séminaire de probabilités de Strasbourg 31, 198-206, 1997 | 10 | 1997 |