Cecilia Mancini

University of Verona - Department of Economics

via Cantarane 24

Verona, I-37129

Italy

http://https://www.dse.univr.it/?ent=persona&id=55236

SCHOLARLY PAPERS

8

DOWNLOADS

1,202

SSRN CITATIONS
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Top 27,313

in Total Papers Citations

14

CROSSREF CITATIONS

19

Scholarly Papers (8)

1.

Spot Volatility Estimation Using Delta Sequences

Number of pages: 40 Posted: 09 Jul 2009 Last Revised: 12 Jul 2012
Cecilia Mancini, Vanessa Mattiussi and Roberto Renò
University of Verona - Department of Economics, City University London - Department of Economics and University of Verona - Department of Economics
Downloads 348 (121,859)
Citation 6

Abstract:

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spot volatility, microstructure noise, jumps, delta sequences, high frequency data, Fourier estimator

2.

Nonparametric Tests for Analyzing the Fine Structure of Price Fluctuations

Columbia University Financial Engineering Report No. 2007-13
Number of pages: 35 Posted: 11 Jan 2008 Last Revised: 30 May 2014
Rama Cont and Cecilia Mancini
University of Oxford and University of Verona - Department of Economics
Downloads 309 (138,287)
Citation 14

Abstract:

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financial econometrics, jumps, exchange rates, high-frequency data, time series

3.

Threshold Estimation of Jump-Diffusion Models and Interest Rate Modeling

Number of pages: 30 Posted: 14 Jul 2008 Last Revised: 09 Jul 2009
Cecilia Mancini and Roberto Renò
University of Verona - Department of Economics and University of Verona - Department of Economics
Downloads 295 (145,112)
Citation 9

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Warnings About Future Jumps: Properties of the Exponential Hawkes Model

Number of pages: 39 Posted: 12 Jun 2019
Rachele Foschi, Francesca Lilla and Cecilia Mancini
University of Pisa - Department of Economics, Bank of Italy and University of Verona - Department of Economics
Downloads 39 (590,586)
Citation 1

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financial assets returns, truncation, jumps, cluster of jumps, conditional probability of a jump, exponential Hawkes process

Warnings About Future Jumps: Properties of the Exponential Hawkes Model

Number of pages: 53 Posted: 23 Jul 2020
Rachele Foschi, Francesca Lilla and Cecilia Mancini
University of Pisa - Department of Economics, Bank of Italy and University of Verona - Department of Economics
Downloads 31 (639,698)

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Clusters of jumps, exponential Hawkes process, residual length of a cluster, conditional probability of a configuration of jumps, financial assets returns, truncation

Warnings About Future Jumps: Properties of the Exponential Hawkes Model

Number of pages: 41 Posted: 06 Oct 2019
Rachele Foschi, Francesca Lilla and Cecilia Mancini
University of Pisa - Department of Economics, Bank of Italy and University of Verona - Department of Economics
Downloads 29 (653,519)
Citation 1

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financial assets returns, truncation, clusters of jumps, conditional probability of a jump, exponential Hawkes process

5.

Measuring the Relevance of the Microstructure Noise in Financial Data

Number of pages: 30 Posted: 18 Nov 2011 Last Revised: 16 Nov 2012
Cecilia Mancini
University of Verona - Department of Economics
Downloads 76 (427,884)
Citation 1

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Semimartingales with jumps, integrated variance, threshold estimation, test, optimal sampling frequency

6.

Truncated Realized Covariance When Prices Have Infinite Variation Jumps

Number of pages: 32 Posted: 16 Jun 2014 Last Revised: 09 Jun 2015
Cecilia Mancini
University of Verona - Department of Economics
Downloads 43 (557,477)

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Brownian correlation coefficient, integrated covariation, co-jumps, Lévy copulas, threshold estimator

7.

Drift burst test statistic in a pure jump semimartingale model

Number of pages: 37 Posted: 05 Jan 2022
Cecilia Mancini
University of Verona - Department of Economics
Downloads 16 (734,908)

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Test statistic, Ito semimartingale, infinite variation jumps, jump activity index, asymptotic behavior.

Optimum Thresholding Using Mean and Conditional Mean Square Error

Number of pages: 36 Posted: 04 Oct 2017 Last Revised: 19 Dec 2017
José E. Figueroa-Lopez and Cecilia Mancini
Washington University in St. Louis and University of Verona - Department of Economics
Downloads 10 (820,013)
Citation 4

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Threshold Estimator, Integrated Variance, Lévy Jumps, Mean Square Error, Conditional Mean Square Error, Modulus of Continuity of the Brownian Motion Paths, Numerical Scheme

Optimum Thresholding Using Mean and Conditional Mean Square Error

Number of pages: 29 Posted: 12 Apr 2017
José E. Figueroa-Lopez and Cecilia Mancini
Washington University in St. Louis and University of Verona - Department of Economics
Downloads 6 (863,426)

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Threshold estimator, integrated variance, Lévy jumps, mean square error, conditional mean square error, modulus of continuity of the Brownian motion paths, numerical scheme