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1

Detecting Informed Trading Activities in the Options Markets

Chesney, Marc, Crameri, Remo, Mancini, Loriano

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 496 KB

english, 2012

2

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

MANCINI, LORIANO, RANALDO, ANGELO, WRAMPELMEYER, JAN

Journal:

The Journal of Finance

Year:

2013

Language:

english

File:

PDF, 586 KB

english, 2013

3

A GARCH Option Pricing Model with Filtered Historical Simulation

Barone-Adesi, Giovanni, Engle, Robert F., Mancini, Loriano

Journal:

Review of Financial Studies

Year:

2008

Language:

english

File:

PDF, 616 KB

english, 2008

4

Quadratic variance swap models

Filipović, Damir, Gourier, Elise, Mancini, Loriano

Journal:

Journal of Financial Economics

Year:

2015

Language:

english

File:

PDF, 2.97 MB

english, 2015

5

A GARCH Option Pricing Model with Filtered Historical Simulation

Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini

Journal:

Review of Financial Studies

Year:

2008

Language:

english

File:

PDF, 3.79 MB

english, 2008

6

Robust Value at Risk Prediction: Appendix

Mancini, Loriano, Trojani, Fabio

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 2.45 MB

english, 2010

7

A GARCH Option Pricing Model with Filtered Historical Simulation

Barone-Adesi, Giovanni, Engle, Robert F., Mancini, Loriano

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 494 KB

english, 2008

8

Out of sample forecasts of quadratic variation

Yacine Aït-Sahalia, Loriano Mancini

Journal:

Journal of Econometrics

Year:

2008

Language:

english

File:

PDF, 3.37 MB

english, 2008

9

Option Pricing With Model-Guided Nonparametric Methods

Fan, Jianqing, Mancini, Loriano

Journal:

Journal of the American Statistical Association

Year:

2009

Language:

english

File:

PDF, 611 KB

english, 2009

10

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

Loriano Mancini, Elvezio Ronchetti and Fabio Trojani

Journal:

Journal of the American Statistical Association

Year:

2005

Language:

english

File:

PDF, 1.59 MB

english, 2005

11

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

Mancini, Loriano, Ronchetti, Elvezio, Trojani, Fabio

Journal:

Journal of the American Statistical Association

Year:

2005

Language:

english

File:

PDF, 442 KB

english, 2005

12

Detecting abnormal trading activities in option markets

Chesney, Marc, Crameri, Remo, Mancini, Loriano

Journal:

Journal of Empirical Finance

Year:

2015

Language:

english

File:

PDF, 559 KB

english, 2015

13

Scientific research measures

Frittelli, Marco, Mancini, Loriano, Peri, Ilaria

Journal:

Journal of the Association for Information Science and Technology

Year:

2015

Language:

english

File:

PDF, 341 KB

english, 2015

14

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

Mancini, Loriano, Ranaldo, Angelo, Wrampelmeyer, Jan

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 553 KB

english, 2012

15

A Tale of Two Investors: Estimating Risk Aversion, Optimism, and Overconfidence

Barone-Adesi, Giovanni, Mancini, Loriano, Shefrin, Hersh M.

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 419 KB

english, 2012

16

Quadratic Variance Swap Models

Filipovic, Damir, Gourier, Elise, Mancini, Loriano

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 1.36 MB

english, 2013

17

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

Mancini, Loriano, Ranaldo, Angelo, Wrampelmeyer, Jan

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 1.05 MB

english, 2010

18

A Tale of Two Investors: Estimating Optimism and Overconfidence

Barone Adesi, giovanni, Mancini, Loriano, Shefrin, Hersh

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 428 KB

english, 2013

19

The Euro Interbank Repo Market

Mancini, Loriano, Ranaldo, Angelo, Wrampelmeyer, Jan

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 917 KB

english, 2013

20

Sentiment, Asset Prices, and Systemic Risk

Barone-Adesi, Giovanni, Mancini, Loriano, Shefrin, Hersh M.

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 724 KB

english, 2012

21

Time Changes, Lévy Jumps and Asset Returns

Fallahgoul, Hasan A, Hugonnier, Julien, Mancini, Loriano

Journal:

SSRN Electronic Journal

Year:

2019

File:

PDF, 1.02 MB

2019

22

Model Risk and Disappointment Aversion

Fallahgoul, Hasan A, Mancini, Loriano, Stoyanov, Stoyan Veselinov

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 615 KB

english, 2018

23

The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis

Ait-Sahalia, Yacine, Karaman, Mustafa, Mancini, Loriano

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 1.41 MB

english, 2012

24

The term structure of equity and variance risk premia

AÃ¯t-Sahalia, Yacine, Karaman, Mustafa, Mancini, Loriano

Journal:

Journal of Econometrics

Year:

2020

File:

PDF, 1.48 MB

2020