← All authors Maria Elvira Mancino University of Florence (per OpenAlex) · ORCID · OpenAlex
38 papers in scope · 38 published · 1 on the econ.EM arXiv · 693 citations · h-index 12 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Giacomo Toscano Simona Sanfelici Stefano Marmi Giulia Livieri Carsten Chong Viktor Todorov Zhao Chen Kokouvi Tewou Ilze Kalnina Christina Dan Wang Qiang Liu Zhi Liu Zhou Wang Jun Yu Tetsuya Takabatake Chen Zhang Yang Zu José E. Figueroa-López H. Peter Boswijk Bei Wu Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 38)
A Taylor-type formula for pure jump additive processes and its application to risk minimization
published 2025 · Decisions in Economics and Finance · 1 citations
with M Handa, Ryoichi Suzuki
Symmetric Positive Semi-Definite Fourier Estimator of Spot Covariance Matrix with High Frequency Data
published 2025 · Risks
with Jirô Akahori, Reika Kambara, Nien-Lin Liu, Tommaso Mariotti, Yukie Yasuda
Spot beta estimation with asynchronous noisy prices
published 2025 · Quantitative Finance · 1 citations
Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise
published 2024 · Journal of Business and Economic Statistics · 4 citations · first circulated 2022
Identifying the number of latent factors of stochastic volatility models
published 2024 · Decisions in Economics and Finance · 3 citations · first circulated 2023
Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options
published 2023 · Risks
with Federico Maglione
published 2022 · Journal of Financial Econometrics · 12 citations · first circulated 2021
Rate-efficient asymptotic normality for the Fourier estimator of the leverage process
published 2021 · Statistics and Its Interface · 9 citations · first circulated 2020
A fractional model for the COVID-19 pandemic: Application to Italian data
published 2020 · Stochastic Analysis and Applications · 10 citations
Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks
published 2020 · Risks · 1 citations
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
published 2020 · Applied Mathematical Finance · 5 citations
Volatility and volatility-linked derivatives: estimation, modeling, and pricing
published 2019 · Decisions in Economics and Finance · 6 citations
with Elisa Alòs, Tai-Ho Wang
Quantitative developments in financial volatility—theory and practice
published 2019 · Decisions in Economics and Finance
with Elisa Alòs, Tai-Ho Wang
On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
published 2019 · Communications in Statistics - Simulation and Computation · 5 citations · first circulated 2018
with Erindi Allaj
Asymptotic results for the Fourier estimator of the integrated quarticity
published 2019 · Decisions in Economics and Finance · 5 citations · first circulated 2018
Identifying financial instability conditions using high frequency data
published 2019 · Journal of Economic Interaction and Coordination · 12 citations
Spot volatility estimation using the Laplace transform
published 2016 · Econometrics and Statistics · 9 citations · first circulated 2014
with Imma Valentina Curato, Maria Cristina Recchioni
Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data
published 2015 · PLoS ONE · 27 citations
with Maria Cristina Recchioni
Switching tax structure and payouts in endogenous bankruptcy models
published 2015 · Stochastics · 2 citations
with Flavia Barsotti, Monique Pontier
High-frequency volatility of volatility estimation free from spot volatility estimates
published 2015 · Quantitative Finance · 25 citations · first circulated 2014
The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model
published 2012 · Economic Notes · 3 citations
with Flavia Barsotti, Monique Pontier
Estimation of quarticity with high-frequency data
published 2012 · Quantitative Finance · 2 citations
Fourier estimation method applied to forward interest rates
published 2012 · JSIAM Letters · 5 citations
with Nien-Lin Liu
Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise
published 2011 · Journal of Financial Econometrics · 38 citations · first circulated 2008
COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA
published 2010 · International Journal of Theoretical and Applied Finance · 25 citations · first circulated 2008
with Emilio Barucci
Fourier volatility forecasting with high-frequency data and microstructure noise
published 2010 · Quantitative Finance · 13 citations · first circulated 2008
with Emilio Barucci, Davide Magno
Optimal strategies in a risky debt context
published 2009 · Stochastics · 8 citations
with Diana Dorobantu, Monique Pontier
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
published 2007 · Computational Statistics & Data Analysis · 99 citations
A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics
published 2007 · Japanese journal of mathematics · 13 citations
with Paul Malliavin, Maria Cristina Recchioni
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
published 2005 · Applied Mathematical Finance · 8 citations
The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
published 2003 · Mathematical Finance · 26 citations
Fourier series method for measurement of multivariate volatilities
published 2002 · Finance and Stochastics · 248 citations
with Paul Malliavin
Instantaneous liquidity rate, its econometric measurement by volatility feedback
published 2002 · Comptes Rendus Mathématique · 11 citations
with Paul Malliavin
A comparison result for FBSDE with applications to decisions theory
published 2001 · Mathematical Methods of Operations Research · 21 citations
with Fabio Antonelli, Emilio Barucci
Asset pricing with a forward–backward stochastic differential utility
published 2001 · Economics Letters · 31 citations
with Fabio Antonelli, Emilio Barucci
A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS
published 2001 · International Journal of Theoretical and Applied Finance · 2 citations
Asset pricing with endogenous aspirations
published 2001 · Decisions in Economics and Finance · 2 citations
with Fabio Antonelli, Emilio Barucci
Some Results of Stable Convergence for Exchangeable Random Variables in Hilbert Spaces
published 2001 · Theory of Probability and Its Applications · 1 citations · first circulated 2000
with Luca Pratelli
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