Loriano Mancini

Finance · 2007–2016

A researcher in the Science corpus: 5 papers; trusts 43 researchers and is trusted by 8 researchers here, as inferred from the citation graph.

Subfields

Whom Loriano Mancini trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Robert F. Engle
  2. Tim Bollerslev
  3. Ole E. Barndorff-Nielsen
  4. Torben G. Andersen
  5. Hans R. Künsch
  6. Joshua V. Rosenberg
  7. Y. Amihud
  8. Nour Meddahi
  9. Alexander J. McNeil
  10. N. Shephard

Who trusts Loriano Mancini overall

  1. M. Nieto
  2. Fulvio Corsi
  3. Andrew J. Patton
  4. P. R. Hansen
  5. Esther Ruiz
  6. Ilze Kalniņa
  7. Paul Embrechts
  8. Asger Lunde
  9. Oliver B. Linton

Papers from Loriano Mancini's perspective

Ordered by how strongly the researchers Loriano Mancini trusts endorse each paper. Same corpus, a different order for every researcher.

  1. Generalized autoregressive conditional heteroskedasticity
  2. The jump-risk premia implicit in options: evidence from an integrated time-series study $
  3. Separating Microstructure Noise from Volatility
  4. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
  5. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
  6. The Pricing of Options and Corporate Liabilities
  7. A Simple Long Memory Model of Realized Volatility
  8. Post-'87 crash fears in the S&P 500 futures option market
  9. The Impact of Jumps in Volatility and Returns
  10. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

Their papers