Maria Elvira Mancino
Maria Elvira Mancino
Email verificata su dmd.unifi.it
Titolo
Citata da
Citata da
Anno
Fourier series method for measurement of multivariate volatilities
P Malliavin, ME Mancino
Finance and Stochastics 6 (1), 49-61, 2002
2752002
A Fourier transform method for nonparametric estimation of multivariate volatility
P Malliavin, ME Mancino
The Annals of Statistics 37 (4), 1983-2010, 2009
1312009
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
992008
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
342011
Asset pricing with a forward–backward stochastic differential utility
F Antonelli, E Barucci, ME Mancino
Economics Letters 72 (2), 151-157, 2001
332001
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
292003
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
292001
Estimation of quarticity with high-frequency data
ME Mancino, S Sanfelici
Quantitative finance 12 (4), 607-622, 2012
252012
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
202007
Dynamic principal component analysis of multivariate volatility via Fourier analysis
ME Mancino, R Renò
Applied Mathematical Finance 12 (2), 187-199, 2005
182005
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
172010
Fourier-Malliavin volatility estimation: Theory and practice
ME Mancino, MC Recchioni, S Sanfelici
Springer International Publishing, 2017
162017
Fourier spot volatility estimator: asymptotic normality and efficiency with liquid and illiquid high-frequency data
ME Mancino, MC Recchioni
PloS one 10 (9), 2015
152015
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 volatility forecasting with high-frequency data and microstructure noise
E Barucci, D Magno, ME Mancino
Quantitative Finance 12 (2), 281-293, 2012
92012
A counter-example concerning a condition of Ogawa integrability
P Majer, ME Mancino
Séminaire de probabilités de Strasbourg 31, 198-206, 1997
91997
High-frequency volatility of volatility estimation free from spot volatility estimates
S Sanfelici, IV Curato, ME Mancino
Quantitative Finance 15 (8), 1331-1345, 2015
82015
Non linear feedback effects by hedging strategies
ME Mancino, S Ogawa
World Scientific Publishing Co. Pte. Ltd., 2004
82004
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
81992
Spot volatility estimation using the Laplace transform
IV Curato, ME Mancino, MC Recchioni
Econometrics and statistics 6, 22-43, 2018
62018
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