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
3782013
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
3092008
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
2852008
The term structure of variance swaps and risk premia
Y Ait-Sahalia, M Karaman, L Mancini
Swiss Finance Institute Research Paper, 2018
189*2018
Out of sample forecasts of quadratic variation
Y At-Sahalia, L Mancini
Journal of Econometrics 147 (1), 17-33, 2008
1822008
The euro interbank repo market
L Mancini, A Ranaldo, J Wrampelmeyer
The Review of Financial Studies 29 (7), 1747-1779, 2016
1622016
The term structure of variance swaps and risk premia
Y Ait-Sahalia, M Karaman, L Mancini
Swiss Finance Institute Research Paper, 2018
1262018
Quadratic variance swap models
D Filipović, E Gourier, L Mancini
Journal of Financial Economics 119 (1), 44-68, 2016
902016
Robust value at risk prediction
L Mancini, F Trojani
Journal of financial econometrics 9 (2), 281-313, 2011
762011
Robust value at risk prediction
L Mancini, F Trojani
Journal of financial econometrics 9 (2), 281-313, 2011
762011
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
632005
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
632005
Detecting abnormal trading activities in option markets
M Chesney, R Crameri, L Mancini
Journal of Empirical Finance 33, 263-275, 2015
572015
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
Option pricing with model-guided nonparametric methods
J Fan, L Mancini
Journal of the American Statistical Association 104 (488), 1351-1372, 2009
352009
A tale of two investors: Estimating optimism and overconfidence
G Barone-Adesi, L Mancini, H Shefrin
Swiss Finance Institute Research Paper, 2013
282013
Sentiment, asset prices, and systemic risk
G Barone-Adesi, L Mancini, H Shefrin
Swiss Finance Institute Research Paper, 2012
172012
The term structure of equity and variance risk premia
Y At-Sahalia, M Karaman, L Mancini
Journal of Econometrics 219 (2), 204-230, 2020
152020
Sentiment, risk aversion, and time preference
G Barone-Adesi, L Mancini, H Shefrin
Swiss Finance Institute Research Paper Series, 2012
142012
Sentiment, risk aversion, and time preference
G Barone-Adesi, L Mancini, H Shefrin
Swiss Finance Institute Research Paper Series, 2012
142012
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Articles 1–20