Loriano Mancini
http://usi.to/d2y
Pubblicazioni
Pubblicazioni principali (5)
- Gryglewicz S., Mancini L., Morellec E., Schroth E., Valta P. (2022) Understanding Cash Flow Risk
- Filipovic D., Mancini L., Gourier E. (2016) Quadratic Variance Swap Models
- Mancini L., Ranaldo A., Wrampelmeyer J. (2016) The Euro Interbank Repo Market
- Mancini L., Ranaldo A., Wrampelmeyer J. (2013) Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
- Mancini L., Ronchetti E., Trojani F. (2005) Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
Articolo pubblicato in rivista scientifica (14)
- Fallahgoul H., Mancini L., Stoyanov S. (in uscita) An L-Moment Approach for Portfolio Choice under Non-Expected Utility, Journal of Financial Econometrics
- Fallahgoul H., Hugonnier J., Mancini L. (2023) Risk Premia and Levy Jumps: Theory and Evidence, Journal of Financial Econometrics
- Gryglewicz S., Mancini L., Morellec E., Schroth E., Valta P. (2022) Understanding Cash Flow Risk, Review of Financial Studies
- Ait-Sahalia Y., Karaman M., Mancini L. (2020) The Term Structure of Variance Swaps and Risk Premia, Journal of Econometrics
- Frittelli M., Mancini L., Peri I. (2016) Scientific Research Measures, Journal of the Association for Information Science and Technology
- Filipovic D., Mancini L., Gourier E. (2016) Quadratic Variance Swap Models, Journal of Financial Economics
- Mancini L., Ranaldo A., Wrampelmeyer J. (2016) The Euro Interbank Repo Market, Review of Financial Studies
- Mancini L., Chesney M., Crameri R. (2015) Detecting Abnormal Trading Activities in Option Markets, Journal of Empirical Finance
- Mancini L., Ranaldo A., Wrampelmeyer J. (2013) Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums, Journal of Finance
- Mancini L., Trojani F. (2011) Robust Volatility Estimation for VaR Predictions, Journal of Financial Econometrics
- Fan J., Mancini L. (2009) Option Pricing with Model-Guided Nonparametric Methods, Journal of the American Statistical Association
- Ait-Sahalia Y., Mancini L. (2008) Out of Sample Forecasts of Quadratic Variation, Journal of Econometrics
- Barone Adesi G., Engle R. F., Mancini L. (2008) A GARCH option pricing model with filtered historical simulation, The review of financial studies, 21 (3)
- Mancini L., Ronchetti E., Trojani F. (2005) Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models, Journal of the American Statistical Association
Contributo in libro (1)
- Barone Adesi G., Mancini L., Shefrin H. (2013) Systemic Risk and Sentiment. Handbook on Systemic Risk. Cambridge University Press
