Sfoglia per Autore
Non linear feedback effects of hedging strategies.
2004 M. MANCINO; Ogawa S.
Harmonic analysis methods for nonparametric estimation of volatility: theory and applications
2005 Barucci E.; Malliavin P.; M. MANCINO
Dynamic principal component analysis of multivariate volatility via Fourier analysis.
2005 M. MANCINO; RENO' R.
Harmonic analysis methods for nonparametic estimation of votality : theory and applications
2006 M.E. Mancino, E. Barucci, P. Malliavin
A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics
2007 MALLIAVIN P; M. MANCINO; RECCHIONI M.C
Robustness of Fourier Estimator of Integrated Volatility in the Presence of Microstructure Noise
2008 M. MANCINO; Sanfelici S.
A Fourier transform method for nonparametric estimation of multivariate volatility.
2009 Malliavin P.; M. MANCINO
Optimal strategies in a risky-debt context.
2009 D. Dorobantu; M. Mancino; M. Pontier
Computation of volatility in stochasticvolatility models with high frequency data
2010 M. Mancino ; E. Barucci
Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology
2011 M.Mancino; S. Sanfelici
Estimating covariance via Fourier methodin the presence of asynchronous trading and microstructure noise.
2011 M. Mancino; S. Sanfelici
Fourier Estimation Method Applied to Forward Interest Rates
2012 M.E. Mancino; N-L. Liu
Multivariate volatility estimation with high frequency data usingFourier method
2012 Mancino M.E. ; Sanfelici S.
Capital Structure with Firm's Net Cash Payout.
2012 Mancino M.E. ; Barsotti F. ; Pontier M.
The role of firm's net cash payouts in Leland's (1994) model
2012 M.E.Mancino; F.Barsotti; M.Pontier
Fourier volatility forecasting with high frequency data and microstructure noise
2012 M. Mancino; E. Barucci; D. Magno
Estimation of quarticity with high frequency data
2012 M.E.Mancino; S.Sanfelici
Boundary Spot Volatility Estimation using the Laplace Tran sform
2013 Maria Elvira Mancino; Imma Curato; Maria Cristina Recchioni
The Fourier estimation method with positive semi-definite estimators
2014 Jirô, Akahori; Nien-Lin, Liu; Maria, Elvira Mancino; Yukie, Yasuda
Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data
2015 Mancino, Maria Elvira; Recchioni, Maria Cristina
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