Maria Elvira Mancino

From MaRDI portal
Person:198440

Available identifiers

zbMath Open mancino.maria-elviraDBLP116/2665WikidataQ108063868 ScholiaQ108063868MaRDI QIDQ198440

List of research outcomes





PublicationDate of PublicationType
On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?2022-07-05Paper
Rate-efficient asymptotic normality for the Fourier estimator of the leverage process2022-02-02Paper
A fractional model for the COVID-19 pandemic: Application to Italian data2021-11-18Paper
Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data2021-06-17Paper
Volatility and volatility-linked derivatives: estimation, modeling, and pricing2020-01-31Paper
Asymptotic results for the Fourier estimator of the integrated quarticity2020-01-31Paper
High-frequency volatility of volatility estimation free from spot volatility estimates2019-02-06Paper
Fourier-Malliavin Volatility Estimation2017-01-06Paper
Switching tax structure and payouts in endogenous bankruptcy models2016-05-04Paper
Estimation of quarticity with high-frequency data2014-01-17Paper
Fourier estimation method applied to forward interest rates2013-08-09Paper
Fourier volatility forecasting with high-frequency data and microstructure noise2012-06-26Paper
Capital structure with firm's net cash payouts2012-05-30Paper
Computation of volatility in stochastic volatility models with high frequency data2010-09-16Paper
Optimal strategies in a risky debt context2009-09-16Paper
A Fourier transform method for nonparametric estimation of multivariate volatility2009-07-22Paper
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise2009-06-12Paper
A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics2009-02-06Paper
A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS2008-09-03Paper
Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications2006-09-18Paper
Nonlinear feedback effects by hedging strategies2006-09-11Paper
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis2005-09-01Paper
A comparison result for FBSDE with applications to decisions theory2003-07-16Paper
The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability2003-01-01Paper
Fourier series method for measurement of multivariate volatilities2002-11-21Paper
Asset pricing with endogeneous aspirations2002-10-21Paper
Instantaneous liquidity rate, its econometric measurement by volatility feedback2002-01-01Paper
Some results of stable convergence for exchangeable random variables in Hilbert spaces2001-10-22Paper
Asset pricing with a forward--backward stochastic differential utility2001-08-20Paper
DIFFUSION PROCESSES WITH RESPECT TO FREE BROWNIAN MOTION2001-08-02Paper
https://portal.mardi4nfdi.de/entity/Q49494932001-03-07Paper
Dilatation vector fields on the loop group1999-09-22Paper
https://portal.mardi4nfdi.de/entity/Q43492381998-03-16Paper
Quantum stochastic differential equations driven by free noises and dilations of Markovian semigroups1995-01-03Paper

Research outcomes over time

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