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Mancini, Loriano's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
7,808 |
Total
Citations
69 |
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1.
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A GARCH Option Pricing Model with Filtered Historical Simulation
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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
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Posted:
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15 Oct 04
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Last Revised:
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29 Jul 10
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2,183
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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
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G13
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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
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15 Oct 04
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Last Revised:
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29 Apr 08
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2,183
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Option pricing, GARCH model, state price density, Monte Carlo simulation
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2.
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Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne Ranaldo, Angelo
University of St. Gallen Wrampelmeyer, Jan
University of Saint Gallen
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14 Aug 09
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Last Revised:
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18 Jun 12
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1,091
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5
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Foreign Exchange Market, Liquidity, Commonality in Liquidity, Liquidity Spiral, Liquidity Risk Premium, Carry Trade
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3.
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Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne Trojani, Fabio
University of Lugano
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17 Aug 05
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Last Revised:
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13 Sep 10
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899
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M-estimator, Extreme Value Theory, Breakdown Point, Backtesting
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4.
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Fan, Jianqing
Princeton University - Bendheim Center for Finance Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
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20 Feb 07
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Last Revised:
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13 Feb 09
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826
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4
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Nonparametric regression, state price distribution, model misspecification, out-of-sample analysis, generalized likelihood ratio test
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5.
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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
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| Posted: |
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13 Jan 10
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Last Revised:
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04 Jul 12
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640
(18,259)
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2
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Options Trades, Open Interest, Informed trading, False Discovery Rate
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6.
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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
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18 May 12
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Last Revised:
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18 Mar 13
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580
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Sentiment, Risk Aversion, Pricing Kernel, Optimism, Overconfidence
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7.
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Ait-Sahalia, Yacine
Princeton University - Department of Economics Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
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01 Jun 06
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Last Revised:
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12 Nov 08
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370
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16
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Market microstructure noise, high frequency data, measurement error, realized volatility, two scales realized volatility, out of sample forecasts.
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8.
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Ait-Sahalia, Yacine
Princeton University - Department of Economics Karaman, Mustafa
University of Zurich - Swiss Banking Institute (ISB) Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
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349
(40,458)
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1
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variance swap, stochastic volatility, likelihood approximation, term structure, equity risk premium, variance risk premium, expectation hypothesis
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9.
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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
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03 Nov 11
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Last Revised:
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21 Mar 12
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309
(46,593)
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2
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systemic risk, marginal expected shortfall, pricing kernel, overconfidence, optimism
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10.
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Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne Trojani, Fabio
University of Lugano Ronchetti, Elvezio
University of Geneva - Department of Econometrics
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194
(77,148)
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12
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Time series models, M-estimators, influence function, robust estimation and testing
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11.
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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
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| Posted: |
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22 Sep 11
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Last Revised:
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04 Jul 12
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134
(107,967)
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options trades, open interest, informed trading, false discovery rate
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12.
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Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne Trojani, Fabio
University of Lugano
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104
(131,681)
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4
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M-estimator, Extreme Value Theory, Breakdown Point, Backtesting
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13.
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Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne Ranaldo, Angelo
University of St. Gallen Wrampelmeyer, Jan
University of Saint Gallen
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| Posted: |
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20 Dec 11
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Last Revised:
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18 Jun 12
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66
(174,988)
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foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade
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14.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Gourier, Elise
Swiss Finance Institute Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
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| Posted: |
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23 Mar 13
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Last Revised:
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14 May 13
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63
(179,406)
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variance swap, quadratic term structure model, dynamic optimal portfolio
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