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Loriano Mancini

SSRN Author Rank: 1,583 by Downloads and 6,354 by Citations

 

Ecole Polytechnique Fédérale de Lausanne


 Quartier UNIL-Dorigny
 Bâtiment Extranef
 1015 Lausanne, CH-1015
 Switzerland
 HOME PAGE: http://sfi.epfl.ch/mancini.html
 email address
 

Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute


 c/o University of Geneve
 40, Bd du Pont-d'Arve
 1211 Geneva, CH-6900
 Switzerland
 email address


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. Loriano Mancini's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
14,513
Total
Citations
77
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.   Incl. Electronic Paper
Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Posted:
15 Oct 04
Last Revised:
29 Jul 10
2,694
(2,898)
22

2.  
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Finance, 2013, Vol. 68, No. 5, pp. 1805-1841
Number of Pages in PDF File: 69
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Ranaldo, Angelo
University of St. Gallen
Wrampelmeyer, Jan
University of St. Gallen
Posted:
14 Aug 09
Last Revised:
13 Oct 13
1,813
(5,713)
8

3.  
Detecting Abnormal Trading Activities in Option Markets | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 11-42
Number of Pages in PDF File: 36
Chesney, Marc
University of Zurich - Swiss Banking Institute (ISB)
Crameri, Remo
University of Zurich - Swiss Banking Institute (ISB)
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Posted:
13 Jan 10
Last Revised:
23 Jan 15
1,244
(7,765)
 

4.  
Ait-Sahalia, Yacine
Princeton University - Department of Economics
Karaman, Mustafa
University of Zurich - Swiss Banking Institute (ISB)
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Posted:
27 Aug 12
Last Revised:
13 Feb 15
1,078
(8,836)
2

5.  
Robust Value at Risk Prediction | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 07-31
Number of Pages in PDF File: 51
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Trojani, Fabio
University of Geneva
Posted:
17 Aug 05
Last Revised:
13 Sep 10
1,031
(13,800)
4

6.  
Sentiment, Risk Aversion, and Time Preference | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 12-21
Number of Pages in PDF File: 44
Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Shefrin, Hersh
Santa Clara University - Leavey School of Business
Posted:
18 May 12
Last Revised:
21 May 16
945
(13,951)
1

7.  
Fan, Jianqing
Princeton University - Bendheim Center for Finance
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Posted:
20 Feb 07
Last Revised:
13 Feb 09
873
(17,969)
3

8.  
The Euro Interbank Repo Market | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 13-71, University of St. Gallen, School of Finance Research Paper No. 2013/16
Number of Pages in PDF File: 42
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Ranaldo, Angelo
University of St. Gallen
Wrampelmeyer, Jan
University of St. Gallen
Posted:
28 Sep 13
Last Revised:
29 Mar 16
628
(19,325)
 

9.  
Quadratic Variance Swap Models | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Economics, Forthcoming
Number of Pages in PDF File: 77
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Gourier, Elise
Queen Mary, University of London
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Posted:
23 Mar 13
Last Revised:
20 Dec 14
551
(24,463)
 

10.  
Sentiment, Asset Prices, and Systemic Risk | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 11-50
Number of Pages in PDF File: 31
Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Shefrin, Hersh
Santa Clara University - Leavey School of Business
Posted:
03 Nov 11
Last Revised:
21 Mar 12
513
(33,850)
2

11.  
Out of Sample Forecasts of Quadratic Variation | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Econometrics, Vol. 147, pp. 17-33, 2008
Number of Pages in PDF File: 36
Ait-Sahalia, Yacine
Princeton University - Department of Economics
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Posted:
01 Jun 06
Last Revised:
12 Nov 08
419
(45,710)
16

12.  
Chesney, Marc
University of Zurich - Swiss Banking Institute (ISB)
Crameri, Remo
University of Zurich - Swiss Banking Institute (ISB)
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Posted:
22 Sep 11
Last Revised:
01 Apr 15
211
(89,485)
 

13.  
Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of the American Statistical Association, Vol. 100, No. 470, pp. 628-641, June 2005
Number of Pages in PDF File: 34
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Trojani, Fabio
University of Geneva
Ronchetti, Elvezio
University of Geneva - Department of Econometrics
Posted:
29 Jul 03
206
(104,284)
13

14.  
A Tale of Two Investors: Estimating Optimism and Overconfidence | Show Abstract | Download This Paper | Open PDF in Browser |
26th Australasian Finance and Banking Conference 2013
Number of Pages in PDF File: 50
Barone-Adesi, Giovanni
Swiss Finance Institute
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Shefrin, Hersh
Santa Clara University - Leavey School of Business
Posted:
02 Sep 13
197
(89,880)
1

15.  
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Ranaldo, Angelo
University of St. Gallen
Wrampelmeyer, Jan
University of St. Gallen
Posted:
20 Dec 11
Last Revised:
11 Jun 13
166
(110,303)
 

16.  
Scientific Research Measures | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 13-37
Number of Pages in PDF File: 28
Frittelli, Marco
University of Florence - Dipartimento di Matematica
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Peri, Ilaria
University of Greenwich
Posted:
02 Jul 13
Last Revised:
30 Jan 15
153
(131,906)
 

17.  
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Trojani, Fabio
University of Geneva
Posted:
12 Sep 10
138
(148,764)
4

18.  
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Ranaldo, Angelo
University of St. Gallen
Wrampelmeyer, Jan
University of St. Gallen
Posted:
17 Dec 13
Last Revised:
30 Jul 15
89
(186,192)
 

19.  
Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Shefrin, Hersh
Santa Clara University - Leavey School of Business
Posted:
22 Jul 13
Last Revised:
21 May 16
69
(195,080)
1

20.  
Frittelli, Marco
University of Florence - Dipartimento di Matematica
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Peri, Ilaria
University of Greenwich
Posted:
09 Dec 14
9
(438,267)
 


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