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Loriano Mancini
Loriano Mancini
USI Lugano, Swiss Finance Institute
Verified email at usi.ch - Homepage
Title
Cited by
Cited by
Year
Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums
L Mancini, A Ranaldo, J Wrampelmeyer
The Journal of Finance 68 (5), 1805-1841, 2013
4822013
A GARCH option pricing model with filtered historical simulation
G Barone-Adesi, RF Engle, L Mancini
The review of financial studies 21 (3), 1223-1258, 2008
3602008
A GARCH option pricing model with filtered historical simulation
G Barone-Adesi, RF Engle, L Mancini
The review of financial studies 21 (3), 1223-1258, 2008
3342008
The term structure of variance swaps and risk premia
Y Ait-Sahalia, M Karaman, L Mancini
Swiss Finance Institute Research Paper, 2018
201*2018
The euro interbank repo market
L Mancini, A Ranaldo, J Wrampelmeyer
The Review of Financial Studies 29 (7), 1747-1779, 2016
1932016
Out of sample forecasts of quadratic variation
Y At-Sahalia, L Mancini
Journal of Econometrics 147 (1), 17-33, 2008
1922008
The term structure of variance swaps and risk premia
Y Ait-Sahalia, M Karaman, L Mancini
Swiss Finance Institute Research Paper, 2018
1342018
Quadratic variance swap models
D Filipović, E Gourier, L Mancini
Journal of Financial Economics 119 (1), 44-68, 2016
1132016
Robust value at risk prediction
L Mancini, F Trojani
Journal of financial econometrics 9 (2), 281-313, 2011
862011
Robust value at risk prediction
L Mancini, F Trojani
Journal of financial econometrics 9 (2), 281-313, 2011
862011
Detecting abnormal trading activities in option markets
M Chesney, R Crameri, L Mancini
Journal of Empirical Finance 33, 263-275, 2015
622015
Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models
L Mancini, E Ronchetti, F Trojani
Journal of the American Statistical Association 100 (470), 628-641, 2005
622005
Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models
L Mancini, E Ronchetti, F Trojani
Journal of the American Statistical Association 100 (470), 628-641, 2005
622005
The term structure of equity and variance risk premia
Y At-Sahalia, M Karaman, L Mancini
Journal of Econometrics 219 (2), 204-230, 2020
532020
Option pricing with model-guided nonparametric methods
J Fan, L Mancini
Journal of the American Statistical Association 104 (488), 1351-1372, 2009
482009
A GARCH option pricing model in incomplete markets
G Barone-Adesi, RF Engle, L Mancini
Review of Financial Studies 21 (3), 1223-1258, 2008
412008
A tale of two investors: estimating optimism and overconfidence
G Barone-Adesi, L Mancini, H Shefrin
26th Australasian Finance and Banking Conference, 2013
292013
Sentiment, asset prices, and systemic risk
G Barone-Adesi, L Mancini, H Shefrin
Swiss Finance Institute Research Paper, 2012
192012
Behavioral finance and the Pricing Kernel Puzzle: Estimating risk aversion, optimism, and overconfidence
G Barone-Adesi, L Mancini, H Shefrin
Unpublished Manuscript Swiss Finance Institute 3 (7), 1-50, 2012
172012
Understanding cash flow risk
S Gryglewicz, L Mancini, E Morellec, E Schroth, P Valta
The review of financial studies 35 (8), 3922-3972, 2022
16*2022
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