Maria Elvira Mancino
Università degli Studi di Firenze
H-index: 14
Europe-Italy
Top articles of Maria Elvira Mancino
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts | Journal of Financial Econometrics | Giacomo Toscano Giulia Livieri Maria Elvira Mancino Stefano Marmi | 2024/1/1 |
Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options | Risks | Federico Maglione Maria Elvira Mancino | 2023/10/20 |
Identifying the number of latent factors of stochastic volatility models | Available at SSRN 4422326 | Erindi Allaj Maria Elvira Mancino Simona Sanfelici | 2023/4/18 |
Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix | arXiv preprint arXiv:2304.04372 | Jirô Akahori Nien-Lin Liu Maria Elvira Mancino Tommaso Mariotti Yukie Yasuda | 2023/4/10 |
Rate-efficient asymptotic normality for the Fourier estimator of the leverage process | Statistics and Its interface | Maria Elvira Mancino Giacomo Toscano | 2022 |
Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise | arXiv preprint arXiv:2209.08967 | Maria Elvira Mancino Tommaso Mariotti Giacomo Toscano | 2022/9/19 |
On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? | Communications in Statistics-Simulation and Computation | Erindi Allaj Maria Elvira Mancino | 2021/12/2 |
A fractional model for the COVID-19 pandemic: Application to Italian data | Stochastic Analysis and Applications | Elisa Alòs Maria Elvira Mancino Raúl Merino Simona Sanfelici | 2021/9/3 |
The Fourier volatility estimation method and some applications | Maria Elvira Mancino | 2021/7/7 | |
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data | Applied Mathematical Finance | Maria Elvira Mancino Simone Scotti Giacomo Toscano | 2020/7/3 |
Non-parametric computation of Greeks using high frequency data | RISKS | Maria Elvira Mancino Simona Sanfelici | 2020 |
Identifying financial instability conditions using high frequency data | Journal of Economic Interaction and Coordination | Maria Elvira Mancino Simona Sanfelici | 2020/1 |
Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks | Risks | Maria Elvira Mancino Simona Sanfelici | 2020/11/13 |
