All Stories

  1. On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?

    Article • Communications in Statistics - Simulation and Computation, July 2019, Taylor & Francis

    Professor Maria Elvira Mancino, ERINDI ALLAJ

  2. Switching tax structure and payouts in endogenous bankruptcy models

    Article • Stochastics, July 2015, Taylor & Francis

    Professor Maria Elvira Mancino

  3. High-frequency volatility of volatility estimation free from spot volatility estimates

    Article • Quantitative Finance, May 2015, Taylor & Francis

    Professor Maria Elvira Mancino

  4. The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model

    Article • Economic Notes, October 2012, Wiley

    Professor Maria Elvira Mancino

  5. Estimation of quarticity with high-frequency data

    Article • Quantitative Finance, April 2012, Taylor & Francis

    Professor Maria Elvira Mancino

  6. Fourier volatility forecasting with high-frequency data and microstructure noise

    Article • Quantitative Finance, February 2012, Taylor & Francis

    Professor Maria Elvira Mancino

  7. Capital structure with firm’s net cash payouts

    Article • January 2012, Springer Science + Business Media

    Professor Maria Elvira Mancino

  8. Fourier estimation method applied to forward interest rates

    Article • JSIAM Letters, January 2012, The Japan Society for Industrial and Applied Mathematics

    Professor Maria Elvira Mancino

  9. Multivariate Volatility Estimation with High Frequency Data Using Fourier Method

    Article • November 2011, Wiley

    Professor Maria Elvira Mancino

  10. COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA

    Article • International Journal of Theoretical and Applied Finance, August 2010, World Scientific Pub Co Pte Lt

    Professor Maria Elvira Mancino

  11. A Fourier transform method for nonparametric estimation of multivariate volatility

    Article • The Annals of Statistics, August 2009, Institute of Mathematical Statistics

    Professor Maria Elvira Mancino

  12. Optimal strategies in a risky debt context

    Article • Stochastics, June 2009, Taylor & Francis

    Professor Maria Elvira Mancino

  13. A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics

    Article • Japanese journal of mathematics, March 2007, Springer Science + Business Media

    Professor Maria Elvira Mancino

  14. Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications

    Article • March 2006, World Scientific Pub Co Pte Lt

    Professor Maria Elvira Mancino

  15. Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis

    Article • Applied Mathematical Finance, June 2005, Taylor & Francis

    Professor Maria Elvira Mancino

  16. Non Linear Feedback Effects by Hedging Strategies

    Article • July 2004, World Scientific Pub Co Pte Lt

    Professor Maria Elvira Mancino

  17. The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability

    Article • Mathematical Finance, January 2003, Wiley

    Professor Maria Elvira Mancino

  18. Instantaneous liquidity rate, its econometric measurement by volatility feedback

    Article • Comptes Rendus Mathématique, January 2002, Elsevier

    Professor Maria Elvira Mancino

  19. Fourier series method for measurement of multivariate volatilities

    Article • Finance and Stochastics, January 2002, Springer Science + Business Media

    Professor Maria Elvira Mancino

  20. A comparison result for FBSDE with applications to decisions theory

    Article • Mathematical Methods of Operations Research, December 2001, Springer Science + Business Media

    Professor Maria Elvira Mancino

  21. Asset pricing with a forward–backward stochastic differential utility

    Article • Economics Letters, August 2001, Elsevier

    Professor Maria Elvira Mancino

  22. A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS

    Article • International Journal of Theoretical and Applied Finance, August 2001, World Scientific Pub Co Pte Lt

    Professor Maria Elvira Mancino

  23. Asset pricing with endogenous aspirations

    Article • Decisions in Economics and Finance, May 2001, Springer Science + Business Media

    Professor Maria Elvira Mancino

  24. DIFFUSION PROCESSES WITH RESPECT TO FREE BROWNIAN MOTION

    Article • Infinite Dimensional Analysis Quantum Probability and Related Topics, September 2000, World Scientific Pub Co Pte Lt

    Professor Maria Elvira Mancino

  25. Some results of stable convergence for exchangeable random variables in Hilbert spaces

    Article • Теория вероятностей и ее применения, January 2000, Steklov Mathematical Institute

    Professor Maria Elvira Mancino

  26. Dilatation Vector Fields on the Loop Group

    Article • Journal of Functional Analysis, August 1999, Elsevier

    Professor Maria Elvira Mancino

  27. A counter-example concerning a condition of Ogawa integrability

    Article • January 1997, Springer Science + Business Media

    Professor Maria Elvira Mancino

  28. Dynamic Portfolio Management: An Application of Fourier Method for Covariance Estimation

    Article • SSRN Electronic Journal, Elsevier

    Professor Maria Elvira Mancino

  29. Computation of Volatility in Stochastic Volatility Models with High Frequency Data

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Maria Elvira Mancino

  30. Estimating Covariance Via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Maria Elvira Mancino

  31. High Frequency Volatility of Volatility Estimation Free from Spot Volatility Estimates

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Maria Elvira Mancino