5
H index
3
i10 index
190
Citations
Maria Elvira Mancino : Citation Profile
Università degli Studi di Firenze | RESEARCH PRODUCTION: 23 Articles 12 Papers 3 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (2001 - 2023). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Maria Elvira Mancino. | Is cited by:
| Cites to:
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Main data
Where Maria Elvira Mancino has published?
| Journals with more than one article published | # docs |
|---|---|
| Decisions in Economics and Finance | 4 |
| Quantitative Finance | 3 |
| Risks | 2 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
| Applied Mathematical Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 5 |
| Working Papers - Mathematical Economics / Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa | 4 |
| Economics Department Working Papers / Department of Economics, Parma University (Italy) | 2 |
Recent works citing Maria Elvira Mancino (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450. Full description at Econpapers || Download paper |
| 2023 | Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137. Full description at Econpapers || Download paper |
| 2023 | Permutation invariant Gaussian matrix models for financial correlation matrices. (2023). Stephanou, Michael ; Ramgoolam, Sanjaye ; Barnes, George. In: Papers. RePEc:arx:papers:2306.04569. Full description at Econpapers || Download paper |
| 2023 | Copula Estimation for Nonsynchronous Financial Data. (2023). Sen, Rituparna ; Chakrabarti, Arnab. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00276-3. Full description at Econpapers || Download paper |
| 2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers || Download paper |
Maria Elvira Mancino has edited the books:
| Year | Title | Type | Cited |
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Works by Maria Elvira Mancino:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | The Fourier estimation method with positive semi-definite estimators In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Is the variance swap rate affine in the spot variance? Evidence from S&P500 data In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2020 | Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data.(2020) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2022 | Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model In: Economic Notes. [Full Text][Citation analysis] | article | 1 |
| 2003 | The Price?Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability In: Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2008 | Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 26 |
| 2001 | Asset pricing with a forward-backward stochastic differential utility In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2018 | Spot volatility estimation using the Laplace transform In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 2 |
| 2009 | Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology In: Working Papers - Mathematical Economics. [Citation analysis] | paper | 2 |
| 2011 | Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology.(2011) In: Palgrave Macmillan Books. [Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
| 2010 | Debt Value and Capital Structure with Firms Net Cash Payouts In: Working Papers - Mathematical Economics. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Estimation of Quarticity with High Frequency Data In: Working Papers - Mathematical Economics. [Full Text][Citation analysis] | paper | 9 |
| 2012 | Estimation of quarticity with high-frequency data.(2012) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2011 | Corporate Debt Value with Switching Tax Benefits and Payouts In: Working Papers - Mathematical Economics. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2020 | Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2011 | Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 11 |
| 2004 | A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model In: Economics Department Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise In: Economics Department Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data In: PLOS ONE. [Full Text][Citation analysis] | article | 4 |
| Pricing and Hedging Contingent Claims via Malliavin Calculus In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 0 | |
| 2001 | Asset pricing with endogenous aspirations In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Asymptotic results for the Fourier estimator of the integrated quarticity In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Quantitative developments in financial volatility—theory and practice In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Volatility and volatility-linked derivatives: estimation, modeling, and pricing In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 3 |
| 2002 | Fourier series method for measurement of multivariate volatilities In: Finance and Stochastics. [Full Text][Citation analysis] | article | 103 |
| 2020 | Identifying financial instability conditions using high frequency data In: Journal of Economic Interaction and Coordination. [Full Text][Citation analysis] | article | 0 |
| 2001 | A comparison result for FBSDE with applications to decisions theory In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2005 | Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 2 |
| 2012 | Fourier volatility forecasting with high-frequency data and microstructure noise In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | High-frequency volatility of volatility estimation free from spot volatility estimates In: Quantitative Finance. [Full Text][Citation analysis] | article | 8 |
| 2001 | A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2010 | COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
| 2004 | Non Linear Feedback Effects by Hedging Strategies In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 2006 | Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team