Loriano Mancini

USI Lugano - Institute of Finance

Via Giuseppe Buffi 6

6904 Lugano, CH-6904

Switzerland

http://www.people.usi.ch/mancil/

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

24

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CITATIONS
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108

Scholarly Papers (24)

A GARCH Option Pricing Model with Filtered Historical Simulation

Review of Financial Studies, 2008
Number of pages: 54 Posted: 15 Oct 2004 Last Revised: 29 Apr 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and USI Lugano - Institute of Finance
Downloads 3,019 (3,497)
Citation 5

Abstract:

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Option pricing, GARCH model, state price density, Monte Carlo simulation

A GARCH Option Pricing Model with Filtered Historical Simulation

The Review of Financial Studies, Vol. 21, Issue 3, pp. 1223-1258, 2008
Posted: 02 Jul 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and USI Lugano - Institute of Finance

Abstract:

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2.

The Term Structure of Variance Swaps and Risk Premia

Swiss Finance Institute Research Paper No. 18-37
Number of pages: 64 Posted: 27 Aug 2012 Last Revised: 14 May 2018
Yacine Ait-Sahalia, Mustafa Karaman and Loriano Mancini
Princeton University - Department of Economics, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 2,228 (5,952)
Citation 21

Abstract:

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Variance Swap, Stochastic Volatility, Likelihood Approximation, Term Structure, Equity Risk Premium, Variance Risk Premium

3.

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Journal of Finance, 2013, Vol. 68, No. 5, pp. 1805-1841
Number of pages: 69 Posted: 14 Aug 2009 Last Revised: 13 Oct 2013
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 2,183 (6,144)
Citation 3

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Foreign Exchange Market, Liquidity, Commonality in Liquidity, Liquidity Spiral, Liquidity Risk Premium, Carry Trade

4.

Detecting Abnormal Trading Activities in Option Markets

Swiss Finance Institute Research Paper No. 11-42
Number of pages: 36 Posted: 13 Jan 2010 Last Revised: 23 Jan 2015
Marc Chesney, Remo Crameri and Loriano Mancini
University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 2,024 (7,000)

Abstract:

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Options Trades, Open Interest, False Discovery Rate, Massive dataset

5.

Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory

Swiss Finance Institute Research Paper No. 12-21
Number of pages: 47 Posted: 18 May 2012 Last Revised: 20 Mar 2017
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 1,349 (13,649)
Citation 2

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Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

6.

Robust Value at Risk Prediction

Swiss Finance Institute Research Paper No. 07-31
Number of pages: 51 Posted: 17 Aug 2005 Last Revised: 13 Sep 2010
Loriano Mancini and Fabio Trojani
USI Lugano - Institute of Finance and Swiss Finance Institute
Downloads 1,119 (18,168)
Citation 1

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M-estimator, Extreme Value Theory, Breakdown Point, Backtesting

7.

The Euro Interbank Repo Market

Swiss Finance Institute Research Paper No. 13-71, University of St. Gallen, School of Finance Research Paper No. 2013/16
Number of pages: 42 Posted: 28 Sep 2013 Last Revised: 29 Mar 2016
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 1,082 (19,130)
Citation 8

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Repurchase agreements, money market structure, central counterparty, short-term debt, financial crisis, unconventional monetary policy

8.

Option Pricing with Model-Guided Nonparametric Methods

Number of pages: 55 Posted: 20 Feb 2007 Last Revised: 13 Feb 2009
Jianqing Fan and Loriano Mancini
Princeton University - Bendheim Center for Finance and USI Lugano - Institute of Finance
Downloads 926 (24,036)
Citation 2

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Nonparametric regression, state price distribution, model misspecification, out-of-sample analysis, generalized likelihood ratio test

9.

Quadratic Variance Swap Models

Journal of Financial Economics, Forthcoming
Number of pages: 77 Posted: 23 Mar 2013 Last Revised: 20 Dec 2014
Damir Filipović, Elise Gourier and Loriano Mancini
Ecole Polytechnique Fédérale de Lausanne, ESSEC Business School and USI Lugano - Institute of Finance
Downloads 904 (24,934)
Citation 2

Abstract:

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stochastic volatility, variance swap, quadratic term structure, quadratic jump-diffusion, dynamic optimal portfolio

10.

Sentiment, Asset Prices, and Systemic Risk

Swiss Finance Institute Research Paper No. 11-50
Number of pages: 31 Posted: 03 Nov 2011 Last Revised: 21 Mar 2012
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 699 (35,555)
Citation 3

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systemic risk, marginal expected shortfall, pricing kernel, overconfidence, optimism

11.

Out of Sample Forecasts of Quadratic Variation

Journal of Econometrics, Vol. 147, pp. 17-33, 2008
Number of pages: 36 Posted: 01 Jun 2006 Last Revised: 12 Nov 2008
Yacine Ait-Sahalia and Loriano Mancini
Princeton University - Department of Economics and USI Lugano - Institute of Finance
Downloads 516 (52,892)
Citation 2

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Market microstructure noise, high frequency data, measurement error, realized volatility, two scales realized volatility, out of sample forecasts.

12.

A Tale of Two Investors: Estimating Optimism and Overconfidence

26th Australasian Finance and Banking Conference 2013
Number of pages: 50 Posted: 02 Sep 2013
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 393 (73,838)
Citation 5

Abstract:

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Sentiment, Pricing Kernel, Optimism, Overconfidence

13.

Detecting Abnormal Trading Activities in Option Markets: Supplemental Appendix

Swiss Finance Institute Research Paper No. 11-38
Number of pages: 59 Posted: 22 Sep 2011 Last Revised: 01 Apr 2015
Marc Chesney, Remo Crameri and Loriano Mancini
University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 351 (84,175)

Abstract:

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Options Trades, Open Interest, False Discovery Rate, Massive dataset, Financial Crisis

14.

Internet Appendix for 'Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums'

Number of pages: 59 Posted: 20 Dec 2011 Last Revised: 11 Jun 2013
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 239 (127,192)
Citation 3

Abstract:

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foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade

15.

Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

Journal of the American Statistical Association, Vol. 100, No. 470, pp. 628-641, June 2005
Number of pages: 34 Posted: 29 Jul 2003
Loriano Mancini, Fabio Trojani and Elvezio Ronchetti
USI Lugano - Institute of Finance, Swiss Finance Institute and University of Geneva - Research Center for Statistics
Downloads 229 (132,662)
Citation 4

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Time series models, M-estimators, influence function, robust estimation and testing

16.

Scientific Research Measures

Swiss Finance Institute Research Paper No. 13-37
Number of pages: 28 Posted: 02 Jul 2013 Last Revised: 30 Jan 2015
Marco Frittelli, Loriano Mancini and Ilaria Peri
University of Florence - Dipartimento di Matematica, USI Lugano - Institute of Finance and University of London - Economics, Mathematics and Statistics
Downloads 203 (148,833)

Abstract:

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Research Performance, Scientific Impact Measures, Bibliometric Indices, Citations, Calibration

17.

'Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory': Online Appendix

Number of pages: 60 Posted: 22 Jul 2013 Last Revised: 20 Mar 2017
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 177 (168,768)
Citation 1

Abstract:

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Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

18.

Transitory versus Permanent Shocks: Explaining Corporate Savings and Investment

Swiss Finance Institute Research Paper No. 18-21
Number of pages: 63 Posted: 26 Jun 2017 Last Revised: 15 Mar 2018
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), USI Lugano - Institute of Finance, Ecole Polytechnique Fédérale de Lausanne, City University London - Cass Business School and University of Bern
Downloads 167 (177,572)
Citation 3

Abstract:

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Cash holdings, Investment, permanent vs. transitory shocks

19.

Robust Value at Risk Prediction: Appendix

Number of pages: 30 Posted: 12 Sep 2010
Loriano Mancini and Fabio Trojani
USI Lugano - Institute of Finance and Swiss Finance Institute
Downloads 162 (182,177)
Citation 2

Abstract:

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M-estimator, Extreme Value Theory, Breakdown Point, Backtesting

20.

Internet Appendix for 'The Euro Interbank Repo Market'

Number of pages: 28 Posted: 17 Dec 2013 Last Revised: 30 Jul 2015
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 142 (203,260)

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Repurchase agreements, repo market, central counterparty, short-term debt, liquidity hoarding, financial crisis, unconventional monetary policy

21.

Model Risk and Disappointment Aversion

Swiss Finance Institute Research Paper No. 18-65, 31st Australasian Finance and Banking Conference 2018
Number of pages: 57 Posted: 30 Jul 2018 Last Revised: 07 Jul 2019
Hasan Fallahgoul, Loriano Mancini and Stoyan V. Stoyanov
Monash University, USI Lugano - Institute of Finance and Stony Brook University
Downloads 90 (282,229)

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model risk, choice under uncertainty, optimal portfolios, generalized disappointment aversion, higher-order moments

22.

Time Changes, Lévy Jumps and Asset Returns

Number of pages: 57 Posted: 12 Feb 2019
Hasan Fallahgoul, Julien Hugonnier and Loriano Mancini
Monash University, Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and USI Lugano - Institute of Finance
Downloads 36 (438,416)

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Lévy jumps, time changes, tempered stable law, time series, option pricing

23.

Online Appendix for: 'Scientific Research Measures'

Number of pages: 12 Posted: 09 Dec 2014
Marco Frittelli, Loriano Mancini and Ilaria Peri
University of Florence - Dipartimento di Matematica, USI Lugano - Institute of Finance and University of London - Economics, Mathematics and Statistics
Downloads 19 (525,076)

Abstract:

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Research Performance, Scientific Impact Measures, Bibliometric Indices, Citations, Calibration

24.

Anonymous Lending, Central Clearing, and Rollover Risk

Swiss Finance Institute Research Paper No. 18-06
Number of pages: 59 Posted: 14 Dec 2017
Tobias Dieler and Loriano Mancini
University of Bristol - Department of Finance and Accounting and USI Lugano - Institute of Finance
Downloads 139

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asymmetric information, resource allocation, financial stability, social welfare