Loriano Mancini

Ecole Polytechnique Fédérale de Lausanne

Quartier UNIL-Dorigny

Bâtiment Extranef

1015 Lausanne, CH-1015

Switzerland

http://sfi.epfl.ch/mancini.html

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

SCHOLARLY PAPERS

21

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CITATIONS
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76

Scholarly Papers (21)

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
Swiss Finance Institute at the University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and Ecole Polytechnique Fédérale de Lausanne
Downloads 2,828 (3,020)
Citation 21

Abstract:

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
Swiss Finance Institute at the University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and Ecole Polytechnique Fédérale de Lausanne

Abstract:

G13

2.

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
Ecole Polytechnique Fédérale de Lausanne, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 1,909 (6,012)
Citation 8

Abstract:

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

3.

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 - Swiss Banking Institute (ISB), University of Zurich - Swiss Banking Institute (ISB) and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,244 (6,905)

Abstract:

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

4.

The Term Structure of Variance Swaps and Risk Premia

Number of pages: 67 Posted: 27 Aug 2012 Last Revised: 13 Feb 2015
Yacine Ait-Sahalia, Mustafa Karaman and Loriano Mancini
Princeton University - Department of Economics, University of Zurich - Swiss Banking Institute (ISB) and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,078 (7,637)
Citation 4

Abstract:

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

5.

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
Ecole Polytechnique Fédérale de Lausanne and University of Geneva
Downloads 1,031 (15,183)
Citation 4

Abstract:

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

6.

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
Swiss Finance Institute at the University of Lugano, Ecole Polytechnique Fédérale de Lausanne and Santa Clara University - Leavey School of Business
Downloads 945 (14,175)

Abstract:

Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

7.

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 873 (20,041)
Citation 3

Abstract:

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

8.

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
Ecole Polytechnique Fédérale de Lausanne, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 628 (18,549)

Abstract:

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

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, Queen Mary, University of London and Ecole Polytechnique Fédérale de Lausanne
Downloads 551 (22,603)

Abstract:

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
Swiss Finance Institute at the University of Lugano, Ecole Polytechnique Fédérale de Lausanne and Santa Clara University - Leavey School of Business
Downloads 513 (34,669)
Citation 2

Abstract:

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 419 (45,846)
Citation 16

Abstract:

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

12.

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 - Swiss Banking Institute (ISB), University of Zurich - Swiss Banking Institute (ISB) and Ecole Polytechnique Fédérale de Lausanne
Downloads 211 (86,184)

Abstract:

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

13.

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
Ecole Polytechnique Fédérale de Lausanne, University of Geneva and University of Geneva - Department of Econometrics
Downloads 206 (113,647)
Citation 13

Abstract:

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

14.

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
Swiss Finance Institute, Ecole Polytechnique Fédérale de Lausanne and Santa Clara University - Leavey School of Business
Downloads 197 (83,604)
Citation 1

Abstract:

Sentiment, Pricing Kernel, Optimism, Overconfidence

15.

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
Ecole Polytechnique Fédérale de Lausanne, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 166 (117,284)

Abstract:

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

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, Ecole Polytechnique Fédérale de Lausanne and University of Greenwich
Downloads 153 (131,174)

Abstract:

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

17.

Robust Value at Risk Prediction: Appendix

Number of pages: 30 Posted: 12 Sep 2010
Loriano Mancini and Fabio Trojani
Ecole Polytechnique Fédérale de Lausanne and University of Geneva
Downloads 138 (158,870)
Citation 4

Abstract:

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

18.

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
Ecole Polytechnique Fédérale de Lausanne, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 89 (190,469)

Abstract:

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

19.

'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
Swiss Finance Institute at the University of Lugano, Ecole Polytechnique Fédérale de Lausanne and Santa Clara University - Leavey School of Business
Downloads 69 (191,679)

Abstract:

Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

20.

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, Ecole Polytechnique Fédérale de Lausanne and University of Greenwich
Downloads 9 (482,512)

Abstract:

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

21.

Transitory Versus Permanent Shocks: Explaining Corporate Savings and Investment

Number of pages: 61 Posted: 26 Jun 2017 Last Revised: 14 Jul 2017
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne, City University London - Cass Business School and University of Bern
Downloads 0 (393,380)

Abstract:

Cash holdings, Investment, permanent vs. transitory shocks