Maria Elvira Mancino

Available identifiers

zbMath Open mancino.maria-elviraWikidataQ108063868 ScholiaQ108063868MaRDI QIDQ198440

List of research outcomes

Publication	Date of Publication	Type
On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?	2022-07-05	Paper
Rate-efficient asymptotic normality for the Fourier estimator of the leverage process	2022-02-02	Paper
A fractional model for the COVID-19 pandemic: Application to Italian data	2021-11-18	Paper
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data	2021-06-17	Paper
Volatility and volatility-linked derivatives: estimation, modeling, and pricing	2020-01-31	Paper
Asymptotic results for the Fourier estimator of the integrated quarticity	2020-01-31	Paper
High-frequency volatility of volatility estimation free from spot volatility estimates	2019-02-06	Paper
Fourier-Malliavin Volatility Estimation	2017-01-06	Paper
Switching tax structure and payouts in endogenous bankruptcy models	2016-05-04	Paper
Estimation of quarticity with high-frequency data	2014-01-17	Paper
Fourier estimation method applied to forward interest rates	2013-08-09	Paper
Fourier volatility forecasting with high-frequency data and microstructure noise	2012-06-26	Paper
https://portal.mardi4nfdi.de/entity/Q2888087	2012-05-30	Paper
COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA	2010-09-16	Paper
Optimal strategies in a risky debt context	2009-09-16	Paper
A Fourier transform method for nonparametric estimation of multivariate volatility	2009-07-22	Paper
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise	2009-06-12	Paper
A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics	2009-02-06	Paper
A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS	2008-09-03	Paper
Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications	2006-09-18	Paper
https://portal.mardi4nfdi.de/entity/Q5486568	2006-09-11	Paper
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis	2005-09-01	Paper
A comparison result for FBSDE with applications to decisions theory	2003-07-16	Paper
The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability	2003-01-01	Paper
Fourier series method for measurement of multivariate volatilities	2002-11-21	Paper
Asset pricing with endogeneous aspirations	2002-10-21	Paper
Instantaneous liquidity rate, its econometric measurement by volatility feedback	2002-01-01	Paper
Some Results of Stable Convergence for Exchangeable Random Variables in Hilbert Spaces	2001-10-22	Paper
Asset pricing with a forward--backward stochastic differential utility	2001-08-20	Paper
DIFFUSION PROCESSES WITH RESPECT TO FREE BROWNIAN MOTION	2001-08-02	Paper
https://portal.mardi4nfdi.de/entity/Q4949493	2001-03-07	Paper
Dilatation vector fields on the loop group	1999-09-22	Paper
https://portal.mardi4nfdi.de/entity/Q4349238	1998-03-16	Paper
Quantum stochastic differential equations driven by free noises and dilations of Markovian semigroups	1995-01-03	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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