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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19,213

SSRN CITATIONS
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Top 7,422

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87

CROSSREF CITATIONS

63

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 3,072 (3,784)
Citation 41

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

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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 2,375 (5,928)
Citation 32

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 2,256 (6,444)
Citation 12

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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 2,148 (6,993)

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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 1,411 (13,954)
Citation 6

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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 1,127 (19,600)
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 1,120 (19,778)
Citation 25

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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 931 (25,960)
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 929 (26,025)
Citation 3

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 719 (37,193)
Citation 5

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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 522 (56,565)
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 415 (75,026)
Citation 5

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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 374 (84,630)

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 246 (133,355)
Citation 3

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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 230 (142,403)
Citation 12

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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 211 (154,616)

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

17.

Corporate Policies with Permanent and Transitory Shocks: An Empirical Investigation

Swiss Finance Institute Research Paper No. 18-21
Number of pages: 59 Posted: 26 Jun 2017 Last Revised: 12 Feb 2020
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), USI Lugano - Institute of Finance, Ecole Polytechnique Fédérale de Lausanne, EDHEC Business School and University of Bern
Downloads 204 (159,613)
Citation 1

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cash flow risk, permanent and transitory shocks, liquidity management

18.

'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 190 (170,407)
Citation 3

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Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

19.

Anonymous Lending and Rollover Risk

Swiss Finance Institute Research Paper No. 18-06
Number of pages: 68 Posted: 14 Dec 2017 Last Revised: 21 May 2020
Tobias Dieler and Loriano Mancini
University of Bristol - Department of Finance and Accounting and USI Lugano - Institute of Finance
Downloads 165 (192,925)

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asymmetric information, resource allocation, financial stability, social welfare

20.

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 164 (193,876)
Citation 2

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

21.

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 147 (213,783)

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

22.

Model Risk and Disappointment Aversion

Swiss Finance Institute Research Paper No. 18-65, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, 31st Australasian Finance and Banking Conference 2018
Number of pages: 60 Posted: 30 Jul 2018 Last Revised: 01 Oct 2019
Hasan Fallahgoul, Loriano Mancini and Stoyan V. Stoyanov
Monash University, USI Lugano - Institute of Finance and Charles Schwab
Downloads 121 (247,439)
Citation 1

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

23.

Risk Premia and Lévy Jumps: Theory and Evidence

Swiss Finance Institute Research Paper No. 19-49
Number of pages: 44 Posted: 12 Feb 2019 Last Revised: 05 Mar 2020
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 115 (256,805)
Citation 3

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

24.

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 21 (549,696)

Abstract:

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